Protein–energy wasting (PEW) is strongly associated with high mortality in continuous ambulatory peritoneal dialysis (CAPD) patients. However, its clinical assessment has not been well defined. The aim of the present study was to investigate the relationship between combined nutritional indicators and mortality in CAPD patients. In the present retrospective cohort study, a total of 885 incident CAPD patients were enrolled. Nutritional status at the initiation of CAPD was assessed by BMI and biochemical indices (serum albumin, prealbumin, transferrin, creatinine and total cholesterol). The primary outcome was all-cause mortality. Principal components factor analysis was used to identify the combined nutritional parameters. Their association with mortality was examined by multivariable-adjusted Cox models. The mean age was 47·4 (sd 14·8) years, 59·2 % (n 524) were male and 24·6 % (n 218) were diabetic. Of the total patients, 130 (14·7 %) had BMI < 18·5 kg/m2, 439 (49·6 %) had albumin < 38 g/l ( < 3·8 g/dl), 303 (34·2 %) had prealbumin < 300 mg/l ( < 30 mg/dl), 404 (45·6 %) had transferrin < 2 g/l ( < 200 mg/dl), 501 (56·6 %) had total cholesterol < 5·2 mmol/l ( < 200 mg/dl) and 466 (52·7 %) had creatinine < 707 μmol/l ( < 8 mg/dl). Overall, three components such as visceral proteins, muscle-mass surrogate and BMI were extracted, which explained 69·95 % of the total variance of the nutritional parameters. After adjusting for demographic variables, co-morbid conditions, Hb, TAG and high-sensitivity C-reactive protein, the factor score of visceral proteins including albumin, prealbumin and transferrin was independently associated with mortality (hazard ratio 0·73, 95 % CI 0·60, 0·89; P= 0·002). Lower visceral protein concentrations may be independently associated with higher mortality in incident CAPD patients. Simultaneous measurements of serum albumin, prealbumin and transferrin could be helpful to monitor PEW.