Nigerian children under 5 years of age are over 15 times more at risk of death than their counterparts in developed regions of the world; the prevalence of miscarriage, an adverse pregnancy outcome (APO), was estimated at 49%. In the present study, the relationship between APO and under-5 mortality (U5M) in Nigeria was examined to determine if APO could be used as a reliable early warning indicator for U5M. We used a cross-sectional secondary data analysis of datasets from three Nigeria demographic and health surveys: 2003, 2008, and 2013. The study population was women of reproductive age (15–49). Cochran–Mantel–Haenzel chi-square statistics and multiple logistic regression were performed to determine the association, based on maternal socioeconomic factors and access to prenatal healthcare. Results indicated a significant inverse association between APO and U5M. The children of women who have experienced any form of APO may be at lower risk of U5M than children of women who have never had any APO. The implication is that history of APO may not be a reliable early warning indicator for determining higher risk of U5M. These findings suggest further studies to explore the pathway of this association.