Background: More than half of the hospitalizations because of dengue in Brazil occurred in children <15 years of age in 2007 and 2008, an unexpected change in the epidemiological pattern. We sought to determine clinical and laboratory parameters associated with severity. Methods: A case-control study was conducted in three pediatric hospitals in Rio de Janeiro, Brazil; 233 laboratory-confirmed dengue patients were included: 69 cases and 164 controls. Specific clinical and laboratory factors were assessed using univariate and multivariate logistic regression models. Results: Lethargy [adjusted odds ratio (ORa): 9.15, 95% confidence interval (CI): 3.08–27.12], dyspnea (ORa: 8.24, 95% CI: 3.27–20.72) and abdominal pain (ORa: 6.78, 95% CI: 1.44–31.84) were independently associated with severe dengue in children. Lethargy and dyspnea presented as early as 72 and 48 h, respectively, before shock. Conclusions: Abdominal pain and lethargy confirmed their role as warning signs, which along with dyspnea might be helpful in identifying cases progressing to severe dengue.