Children living in resource‐limited settings often suffer from multiple micronutrient deficiencies (MMD). However, there lacks evidence on the correlates of MMD in young children. We investigated the role of diets, water, sanitation and hygiene practice, enteric infections, and impaired gut health on MMD in children at 24 months of age using data from the multi‐country MAL‐ED birth cohort study. Co‐existence of more than one micronutrient deficiency (e.g., anemia, iron, zinc, or retinol deficiency) was considered as MMD. We characterized intestinal inflammation by fecal concentrations of myeloperoxidase (MPO) and neopterin (NEO) measured in the non-diarrheal stool samples. Bayesian network analysis was applied to investigate the factors associated with MMD. A total of 1093 children were included in this analysis. Overall, 47.6% of the children had MMD, with the highest prevalence in Pakistan (90.1%) and lowest in Brazil (6.3%). MMD was inversely associated with the female sex [OR: 0.72, 95% CI: 0.54, 0.92]. A greater risk of MMD was associated with lower vitamin C intake [OR: 0.70, 95% CI: 0.48, 0.94] and increased fecal concentrations of MPO [OR: 1.31, 95% CI: 1.08, 1.51]. The study results imply the importance of effective strategies to ameliorate gut health and improve nutrient intake during the early years of life.