Background: Young children bear the world’s highest prevalence of anaemia, the majority of which is of multifactorial aetiology, which in turn hampers its successful prevention. Even moderate degrees of anaemia are associated with increased mortality and morbidity. Despite this evidence, there is a lack of effective preventive programs and absence of consensus in the safety of iron supplementation in malaria areas, which reflects the poor understanding of the contribution of different aetiologies to anaemia. In order to reduce the anaemia burden in the most vulnerable population, a study to determine the aetiology of anaemia among pre-school Mozambican children was performed. Methods: We undertook a case–control study of 443 preschool hospitalized children with anaemia (haemoglobin concentration <11 g/dl) and 289 community controls without anaemia. Inclusion criteria were: age 1–59 months, no blood transfusion in the previous month, residence in the study area and signed informed consent. Both univariable and multivariable logistic regression analyses were performed to identify factors associated with anaemia and adjusted attributable fractions (AAF) were estimated when appropriate. Results: Malaria (adjusted odds ratio (AOR) = 8.39, p < 0.0001; AAF = 37%), underweight (AOR = 8.10, p < 0.0001; AAF = 43%), prealbumin deficiency (AOR = 7.11, p < 0.0001; AAF = 77%), albumin deficiency (AOR = 4.29, p = 0.0012; AAF = 30%), HIV (AOR = 5.73, p = 0.0060; AAF = 18%), and iron deficiency (AOR = 4.05, p < 0.0001; AAF = 53%) were associated with anaemia. Vitamin A deficiency and α-thalassaemia were frequent (69% and 64%, respectively in cases) but not independently related to anaemia. Bacteraemia (odds ratio (OR) = 8.49, p = 0.004), Parvovirus-B19 (OR = 6.05, p = 0.017) and Epstein-Barr virus (OR = 2.10, p = 0.0015) infections were related to anaemia only in the unadjusted analysis. Neither vitamin B12 deficiency nor intestinal parasites were associated with anaemia. Folate deficiency was not observed. Conclusions: Undernutrition, iron deficiency, malaria, and HIV are main factors related to anaemia in hospitalised Mozambican preschool children. Effective programs and strategies for the prevention and management of these conditions need to be reinforced. Specifically, prevention of iron deficiency that accounted in this study for more than half of anaemia cases would have a high impact in reducing the burden of anaemia in children living under similar conditions. However this deficiency, a common preventable and treatable condition, remains neglected by the international public health community.