Like many other developing countries, Brazil has been going a nutritional transition which presence both malnutrition and overweight. Stunting and overweight are the major public health problems in Brazilian children. The objective of this study was to document the prevalence of stunting, overweight and anemia in preschool children and examine if those nutritional problems are related; also identify if these nutritional problems have the same risk factors. Data from the "Efficient Daycare Center Project" which include 270 children attending nurseries of eight daycare centers in Sao Paulo city, Brazil were used for this study. Data on height and weight were converted to z-scores using WHO anthro software. Hemoglobin (Hb) concentrations were determined on finger-prick blood samples. The co-occurrence of stunting, overweight and anemia was investigated by contingency tables a log-linear model. Univariate and multiple regression analyses were performed to estimate the association of HAZ, WAZ, WHZ and Hb levels with their risk factors. The results showed high prevalence of overweight (22.2%), risk of stunting (22.6%) and anemia (37%). Percent of daycare attendance, age, number of siblings under 5 years old and per capita income are associated with Hb levels. This study provides evidence that Brazil is going through a nutritional transition and suggest that the adoption of public policies to expand and improve services in daycare centers may help to prevent multi-nutritional problems in preschool children.