Background: Dengue is the most important mosquito-borne viral infection to affect humans. Although it usually manifests as a self-limited febrile illness, complications may occur as the fever subsides. A systemic vascular leak syndrome that sometimes progresses to life-threatening hypovolaemic shock is the most serious complication seen in children, typically accompanied by haemoconcentration and thrombocytopenia. Robust evidence on risk factors, especially features present early in the illness course, for progression to dengue shock syndrome (DSS) is lacking. Moreover, the potential value of incorporating serial haematocrit and platelet measurements in prediction models has never been assessed. Methodology/Principal findings: We analyzed data from a prospective observational study of Vietnamese children aged 5–15 years admitted with clinically suspected dengue to the Hospital for Tropical Diseases in Ho Chi Minh City between 2001 and 2009. The analysis population comprised all children with laboratory-confirmed dengue enrolled between days 1–4 of illness. Logistic regression was the main statistical model for all univariate and multivariable analyses. The prognostic value of daily haematocrit levels and platelet counts were assessed using graphs and separate regression models fitted on each day of illness. Among the 2301 children included in the analysis, 143 (6%) progressed to DSS. Significant baseline risk factors for DSS included a history of vomiting, higher temperature, a palpable liver, and a lower platelet count. Prediction models that included serial daily platelet counts demonstrated better ability to discriminate patients who developed DSS from others, than models based on enrolment information only. However inclusion of daily haematocrit values did not improve prediction of DSS. Conclusions/Significance: Daily monitoring of platelet counts is important to help identify patients at high risk of DSS. Development of dynamic prediction models that incorporate signs, symptoms, and daily laboratory measurements, could improve DSS prediction and thereby reduce the burden on health services in endemic areas.