Despite economic growth and poverty reduction, under-5 child undernutrition is still rampant in South Asian countries. This study explored the prevalence and risk factors of severe undernutrition among under-5 children in Bangladesh, Pakistan, and Nepal for comparison using the Composite Index of Severe Anthropometric Failure. We utilised information on under-5 children from recent Demographic Health Surveys. We used multilevel logistic regression models for data analysis. The prevalence of severe undernutrition among under-5 children was around 11.5%, 19.8%, and 12.6% in Bangladesh, Pakistan, and Nepal, respectively. Children from the lowest socioeconomic quintile, and children born with low birth weight were key factors associated with severe undernutrition in these countries. The factors, parental education, maternal nutritional status, antenatal and postnatal care, and birth order were not homogeneous in explaining the determinants of child severe undernutrition across the countries. Our results suggest that the poorest households, and low birth weight of children have significant effects on severe undernutrition among under-5 children in these countries, which should be considered to formulate an evidence-based strategy to reduce severe undernutrition in South Asia.