Despite a major decrease in undernutrition worldwide over the last 25 years, underweight and stunting in children still persist as public health issues especially in Africa and Asia. Adequate nutrition is one of the key factors for healthy growth and development of children. In this study, the associations between dairy consumption and nutritional status in the South East Asian Nutrition Survey (SEANUTS) were investigated. National representative data of 12,376 children in Indonesia, Malaysia, Thailand, and Vietnam aged between 1 and 12 years were pooled, representing nearly 88 million children in this age category. It was found that the prevalence of stunting and underweight was lower in children who consumed dairy on a daily basis (10.0% and 12.0%, respectively) compared to children who did not use dairy (21.4% and 18.0%, respectively) (p < 0.05). The prevalence of vitamin A deficiency and vitamin D insufficiency was lower in the group of dairy users (3.9% and 39.4%, respectively) compared to non-dairy consumers (7.5% and 53.8%, respectively) (p < 0.05). This study suggests that dairy as part of a daily diet plays an important role in growth and supports a healthy vitamin A and vitamin D status.