Malnutrition in children is a serious health problem, especially in Sub-Saharan Africa, with heavy socioeconomic burdens. The prevalence of stunting remains high in Burkina Faso. There is a need to further investigate undernutrition and identify the major factors contributing to its persistence. We aimed to assess the nutritional status of children aged under five years and the associated factors of undernutrition in Burkina Faso. We conducted a second study using a baseline household survey of the impact assessment of a performance-based financing program. The analysis focused on data of 10,032 children aged 0–59 months collected from households in 537 villages. Anthropometric indicators were assessed using the World Health Organization standards, and their association with children, mothers, and households’ characteristics were assessed using logistic regression. Stunting occurred in 40.1% of children, wasting in 25.1%, and underweight in 34%. Children having both stunting, wasting, and underweight were 7.3%. Stunting and underweight was associated with the sex. Stunting was associated with ethnic groups: Fulani with AdjOR = 1.20 (95%CI: 1.01–1.42), household economic level: poorest AdjOR = 1.25 (95%CI: 1.10–1.43), two and more children aged under five years in households: AdjOR = 1.16 (95%CI: 1.05–1.27), distance more than 5km from household to health facility: with Adj OR = 1.21 (95%CI: 1.10–1.35) and household food insecurity. This study identified the modifiable factors that determine the high prevalence of undernutrition in Burkina Faso. Strategies and interventions to improve the health and economic status of the community are needed to reduce the occurrence of undernutrition.