Aim To predict malnutrition risk of older residents by cognitive function, nurse support and self‐care capacity as primary measures of interest. Design Cross‐sectional, correlation design with linear regression analysis. Methods Older residents over 60 years of age were randomly selected from nursing homes. Mini Mental State Exam and the Mini Nutritional Assessment were used were as main measures. Results Lower malnutrition risk was associated with better cognitive functioning. Improved independence of self‐feeding was also linked to reduced nutritional risk. Nurse support was positively related to BMI and cognitive impairment. General self‐care capacity and ‘appetite the week before’ were key predictors of malnutrition risk; 1‐point increase in both variables caused nutritional risk to decrease by 1.73 and 1.38 points, respectively. That is, a 1‐point increase in self‐care capacity and appetite would decrease malnutrition risk by 5.76% and 4.6%. The regression model explained significant amount (65.6%) of variance in malnutrition risk.