Background: Malnutrition is associated with poor outcomes in patients with cancer, heart failure and chronic kidney disease. This study aimed to investigate the predictive value of the Controlling Nutritional Status (CONUT) score in coronary artery disease (CAD) patients. Methods: We recruited a cohort of 3118 patients with CAD undergoing percutaneous coronary intervention (PCI) from 2005 to 2015. Nutritional status was evaluated using the CONUT score, with higher scores reflecting worse nutritional status. Results: After adjustment for comorbidities and medication, an increased CONUT score was independently associated with a higher risk of acute myocardial infarction (AMI) (HR: 1.13; 95% CI: 1.03–1.24), cardiovascular (CV) death (HR: 1.18; 95% CI: 1.07–1.30), congestive heart failure (CHF) (HR: 1.11; 95% CI: 1.04–1.18), a major adverse cardiovascular event (MACE) (HR: 1.14; 95% CI: 1.07–1.22), and total CV events (HR: 1.11; 95% CI: 1.07–1.15). The subgroup analyses demonstrated that the association of the CONUT score existed independently of other established cardiovascular risk factors. In addition, CONUT significantly improved risk stratification for myocardial infarction (MI), cardiac death, CHF, MACEs and total CV events compared to conventional risk factors in CAD patients by the significant increase in the C-index (p < 0.05) and reclassification risk categories in cardiac death and MACEs. Conclusions: The CONUT score improved the risk prediction of adverse events compared to traditional risk factors in CAD patients after percutaneous coronary intervention (PCI).