Background/Objectives: Undernutrition and intestinal parasitic infections are critical public health problems in low-income countries, with adverse effects on child growth and increasing anaemia. Madagascar, with a high prevalence of these factors, lacks comprehensive studies analysing their interaction. This study aimed to assess the nutritional status, the prevalence of anaemia, and the occurrence of intestinal parasitic infections among children and adolescents in three southern regions of Madagascar. Methods: A cross-sectional, prospective study of 289 children and adolescents (10–18 years) from three schools located in Antsoamadiro, Fianarantsoa, and Toliara was conducted. Sociodemographic, anthropometric, and haemoglobin concentration data, as well as faecal samples, were collected. Nutritional status was assessed by Nutrimetry, combining Height-for-Age and BMI-for-Age indicators. Stool samples were analysed by optical microscopy and molecular methods. Results: Nutricode 1 (short stature/stunting + thinness/wasting) was significantly more frequent in Toliara. Nutricode 1 was also significantly more prevalent in males than females. Anaemia affected 57.8% of participants and was significantly associated with Nutricode 1. The overall parasitism rate was also associated with Nutricode 1. Trichuris trichiura and Ascaris lumbricoides significantly increased the risk of stunting, wasting, and Nutricode 1. Co-infection with Trichuris trichiura + Giardia duodenalis was significantly associated with wasting and Nutricode 1. This co-infection was also related to the presence of anaemia, as was moderate-intensity infection with T. trichiura. Conclusions: There is a high co-burden of undernutrition, anaemia, and parasitic infections in southern Madagascar. These findings highlight the urgency of implementing comprehensive health programmes combining parasite control, nutritional support, and iron supplementation adapted to regional realities.