Anemia and malnutrition among under-five children are some of the challenges to public health in Ethiopia. This study aims to determine the socio-economic, demographic, and geographical risk factors that increase the prevalence of the co-occurrence of anemia and malnutrition among under-five children in Ethiopia. The Ethiopia Demographic and Health Survey data for the survey years 2011 and 2016 were used. A Bayesian hierarchical mixed model with a stochastic partial differential equation was adopted to understand the spatial patterns of co-occurrence of these ailments in Ethiopia. The significant risk factors are gender, maternal education, birth order, preceding births, contraceptive use, vaccination, marital status, distance to a health facility, and birth weight. Findings revealed more vulnerability among children less than twenty months and existing geographical disparity with a higher burden of the prevalence of the co-occurrences of anemia and malnutrition in the North-East regions. For cost-effective intervention, policies and programs that improve individual-level risk factors of parents are a more promising approach to tackle these ailments in high-prevalent regions than the ones on the children and should be of utmost priority in the North-East region of the country.