The Nairobi Urban Health and Demographic Surveillance System (NUHDSS) was set up in Korogocho and Viwandani slum settlements to provide a platform for investigating linkages between urban poverty, health, and demographic and other socioeconomic outcomes, and to facilitate the evaluation of interventions to improve the wellbeing of the urban poor. Data from the NUHDSS confirm the high level of population mobility in slum settlements, and also demonstrate that slum settlements are long-term homes for many people. Research and intervention programs should take account of the duality of slum residency. Consistent with the trends observed countrywide, the data show substantial improvements in measures of child mortality, while there has been limited decline in fertility in slum settlements. The NUHDSS experience has shown that it is feasible to set up and implement long-term health and demographic surveillance system in urban slum settlements and to generate vital data for guiding policy and actions aimed at improving the wellbeing of the urban poor.