Background: Malnutrition is an underdiagnosed condition that negatively affects the clinical outcomes of patients, being associated with an increased risk of adverse events, increased hospital stay, and higher mortality. Therefore, nutritional assessment is a required and necessary process in patient care. The objective of this study was to identify the factors associated with nutritional risk by applying the Malnutrition Universal Screening Tool (MUST) scale in a population of critically ill patients. Methods: This was an observational, analytical, and retrospective study. Sociodemographic, clinical, hematological, and biochemical variables and their relationship with nutritional risk and mortality were analyzed. Results: Of 630 patients, the leading cause of admission was pathologies of the circulatory and respiratory system (50%); 28.4% were at high nutritional risk; and mortality was 11.6% and associated with nutritional risk, hemoglobin, and plasma urea nitrogen. Conclusions: The presence of gastrointestinal symptoms and the type of nutritional support received during hospitalization could increase the likelihood of presenting a medium/high nutritional risk, while polycythemia reduced this probability. An associative model was found to determine nutritional risk with an adequate specificity and diagnostic validity index.