The aim of this prospective cohort study was to evaluate clinical and socio-demographic predictors of pneumonia, deaths from pneumonia, and hypoxaemia in children. All under-five children who were admitted to the special care ward of ICDDR,B during September 2007-December 2007 were enrolled. Children sleeping in a bare bed and those having parents/caregivers with poor knowledge were at risk of pneumonia. Children with severe malnutrition, hypoxaemia, or severe sepsis were at higher risk of death. Chest wall-indrawing was the best predictor of hypoxaemia.