Immunoparalysis is associated with poorer outcomes in the paediatric intensive care unit (PICU) setting. We aimed to determine the group of patients with higher chances of immunoparalysis and correlate this status with increased risks of nosocomial infection and adverse clinical parameters. We conducted an exploratory study with prospective data collection in a university‐affiliated tertiary medical, surgical, and cardiac PICU. Fifteen patients with multiple organ dysfunction syndrome were included over a period of 6 months. Monocyte's human leucocyte antigen (HLA)‐DR expression and tumour necrosis factor (TNF)‐α and interleukin (IL)‐6 production were measured by flow‐cytometry at three time points (T1 = 1–2 days; T2 = 3–5 days; T3 = 6–8 days). Using the paediatric logistic organ dysfunction‐2 score to assess initial disease severity, we established the optimal cut‐off values of the evaluated parameters to identify the subset of patients with a higher probability of immunoparalysis. A comparative analysis was performed between them. Sixty per cent were males; the median age was 4.1 years. Considering the presence of two criteria in T1 (classical monocytes mean fluorescence intensity [MFI] for HLA‐DR ≤ 1758.5, area under the curve (AUC) = 0.775; and frequency of monocytes producing IL‐6 ≤ 68.5%, AUC = 0.905) or in T3 (classical monocytes MFI of HLA‐DR ≤ 2587.5, AUC = 0.675; and frequency of monocytes producing TNF‐α ≤ 93.5%, AUC = 0.833), a variable to define immunoparalysis was obtained (100% sensitivity, 81.5% specificity). Forty per cent of patients were assigned to the immunoparalysis group. In this: a higher frequency of nosocomial infection (p = 0.011), vasoactive inotropic score (p = 0.014) and length of hospital stay (p = 0.036) was observed. In the subgroup with the diagnosis of sepsis/septic shock (n = 5), patients showed higher percentages of non‐classical monocytes (p = 0.004). No mortality was recorded. A reduction in classical monocytes HLA‐DR expression with lower frequencies of monocytes producing TNF‐α and IL‐6 during the first week of critical illness, appears to be a good marker of immunoparalysis; these findings relate to an increased risk of nosocomial infection and deleterious outcomes. The increased frequency of non‐classical monocytes in patients with sepsis/septic shock is suggestive of a better prognosis.