The American Society of Parenteral and Enteral Nutrition recommends nutritional risk (NR) screening in critically ill patients with Nutritional Risk Screening – 2002 (NRS-2002) ≥ 3 as NR and ≥ 5 as high NR. The present study evaluated the predictive validity of different NRS-2002 cut-off points in intensive care unit (ICU). A prospective cohort study was conducted with adult patients who were screened using the NRS-2002. Hospital and ICU length of stay (LOS), hospital and ICU mortality, and ICU readmission were evaluated as outcomes. Logistic and Cox regression analyses were performed to evaluate the prognostic value of NRS-2002, and a receiver operating characteristic curve was constructed to determine the best cut-off point for NRS-2002. 374 patients (61·9 ± 14·3 years, 51·1 % males) were included in the study. Of these, 13·1 % were classified as without NR, 48·9 % and 38·0 % were classified as NR and high NR, respectively. An NRS-2002 score of ≥ 5 was associated with prolonged hospital LOS. The best cut-off point for NRS-2002 was a score ≥ 4, which was associated with prolonged hospital LOS (OR = 2·13; 95 % CI: 1·39, 3·28), ICU readmission (OR = 2·44; 95 % CI: 1·14, 5·22), ICU (HR = 2·91; 95 % CI: 1·47, 5·78) and hospital mortality (HR = 2·01; 95 % CI: 1·24, 3·25), but not with ICU prolonged LOS (P = 0·688). NRS-2002 ≥ 4 presented the most satisfactory predictive validity and should be considered in the ICU setting. Future studies should confirm the cut-off point and its validity in predicting nutrition therapy interaction with outcomes.