Conventional indicators - weight-for-age, height-for-age, weight-for-height and mid-upper arm circumference (MUAC) reflect different facets of the nutritional status. Weight-for-age is the most commonly used indicator. When used individually or in combination, conventional indices fail to depict the overall magnitude of undernutrition in the population. Composite Index of Anthropometric Failure (CIAF) is an alternative classification system which attempts to fill this lacuna. Thus, we undertook this study with the objective to compare the prevalence of undernutrition using CIAF and the conventional indices. We included 634 children aged between 2 to 4 years from anganwadis located in three areas of Mumbai. Weight, height and MUAC measurements were taken. Z scores were computed for weight-for-age (WAZ), height-for-age (HAZ) and weight-for-height (WHZ) using WHO Anthro software. Children were classified as per the conventional indices and CIAF. The prevalence of underweight, stunting and wasting was 35.7%, 33.8% and 18.5% respectively. None of the children had MUAC < 11.5 cm. About 1% of the children were moderately wasted according to MUAC. As per CIAF, 47.8% children were undernourished. According to CIAF, one-third of the undernourished children had single anthropometric failure while half of them had dual failure and 17.1% had multiple failures. When compared with the conventional indices, CIAF could recognize 12.1%, 14.0%, 29.3% and 46.7% more undernourished children than WAZ, HAZ, WHZ and MUAC respectively. In conclusion, CIAF is seen to have many advantages over the conventional indices. CIAF is useful in assessing the overall magnitude of undernutrition and identifying children with multiple anthropometric failures. It also recognizes more undernourished children than all the conventional indices. Therefore, CIAF should be used more widely as a tool for nutritional assessment particularly in developing countries where the burden of undernutrition is high.