To identify the factors associated with anemia and to document the severity of micronutrient deficiencies, malaria and inflammation, a nationally representative cross-sectional survey was conducted. A three-stage sampling procedure was used to randomly select children <5 years of age and adult women from households in two strata (urban and rural). Household and individual data were collected, and blood samples from children and women were used to measure the prevalence of malaria, inflammation, and deficiencies of iron, vitamin A, folate, and vitamin B12. 839 children and 945 non-pregnant women were included in the survey. In children, the prevalence rates of anemia (76.3%; 95% CI: 71.8, 80.4), malaria (52.6%; 95% CI: 46.0, 59.0), and acute and chronic inflammation (72.6%; 95% CI: 67.5, 77.1) were high. However, the prevalence of vitamin A deficiency (17.4%; 95% CI: 13.9, 21.6) was moderate, and the prevalence of iron deficiency (5.2%; 95% CI: 3.3, 8.1) and iron-deficiency anemia (3.8%; 95% CI: 2.5, 5.8) were low. Malaria and inflammation were associated with anemia, yet they explained only 25% of the population-attributable risk. In women, 44.8% (95% CI: 40.1, 49.5), 35.1% (95% CI: 30.1, 40.4), and 23.6% (95% CI: 20.4, 27.3) were affected by anemia, malaria, or inflammation, respectively. The prevalence rates of iron deficiency (8.3%; 95% CI: 6.2, 11.1), iron-deficiency anemia (6.1%; 95% CI: 4.4, 8.6), vitamin A deficiency (2.1%; 95% CI: 1.1, 3.1) and vitamin B12 deficiency (0.5%; 95% CI: 0.2, 1.4) were low, while folate deficiency was high (79.2%; 95% CI: 74.1, 83.5). Iron deficiency, malaria, and inflammation were significantly associated with anemia, but explained only 25% of cases of anemia. Anemia in children and women is a severe public health problem in Sierra Leone. Since malaria and inflammation only contributed to 25% of anemia, other causes of anemia, such as hemoglobinopathies, should also be explored.