(1) Background: Supplementary feeding programs (SFPs) are effective in the community-based treatment of moderate acute malnutrition (MAM) and prevention of severe acute malnutrition (SAM); (2) Methods: A retrospective study was conducted on a sample of 1266 Zambian malnourished children assisted from 2012 to 2014 in the Rainbow Project SFPs. Nutritional status was evaluated according to WHO/Unicef methodology. We performed univariate and multivariate Cox proportional risk regression to identify the main predictors of mortality. In addition, a time-to event analysis was performed to identify predictors of failure and time to cure events; (3) Results: The analysis included 858 malnourished children (19 months ± 9.4; 49.9% males). Program outcomes met international standards with a better performance for MAM compared to SAM. Cox regression identified SAM (3.8; 2.1–6.8), HIV infection (3.1; 1.7–5.5), and WAZ <−3 (3.1; 1.6–5.7) as predictors of death. Time to event showed 80% of children recovered by SAM/MAM at 24 weeks. (4) Conclusions: Preventing deterioration of malnutrition, coupled to early detection of HIV/AIDS with adequate antiretroviral treatment, and extending the duration of feeding supplementation, could be crucial elements for ensuring full recovery and improve child survival in malnourished Zambian children.