Background/Objectives: This study determined time trends in the prevalence of malnutrition and its socioeconomic inequality among children under five at a national level and by urbanity in Thailand. Subjects/Methods: This study compared malnutrition prevalence and inequality among children under five by wealth index score and urbanity using three Multiple Indicator Cluster Surveys for 2005–06, 2012, and 2015–16. The magnitude of inequality was measured on absolute (slope index of inequality) and relative scales (relative index of inequality). Results: National prevalence of stunting decreased substantially (16% in 2005–06 and 2012 and 10% in 2015–16), whereas overweight prevalence did not meaningfully change. Inequalities in stunting and overweight by wealth decreased over time nationally on both absolute and relative scales (p-trend < 0.001). Similar decreasing patterns in inequalities were seen in both rural and urban areas, though substantial inequalities persisted. Poor children remained stunted (11.6% in the rural poor and 14.8% in the urban poor), wasted (6.6% in the rural poor), and, strikingly, also overweight (from 5.5% in 2005–06 to 9% in 2015–16 for the rural poor and 8% over time for the urban poor). Conclusion: Despite favorable time trends in socioeconomic inequality, this study showed the existence of a double burden of malnutrition (under-nutrition and overweight) in young Thai children with persistent inequalities at the national level. Different patterns of this double burden were seen between urban and rural areas. Public health policies should target both under-nutrition and overweight and consider urbanity in this rapidly developing society.