Hemoglobin (Hb), mean cell volume (MCV), and erythrocyte protoporphyrin (EP) are commonly used to screen for iron deficiency (ID), but systematic evaluation of the sensitivity and specificity of these tests is limited. The objective of this study is to determine the sensitivity and specificity of Hb, MCV, and EP measurements in screening for ID in preschool children, non-pregnant women 15–49 years of age, and pregnant women. Data from the National Health and Nutrition Examination Surveys (NHANES) (NHANES 2003–2006: n = 861, children three to five years of age; n = 3112, non-pregnant women 15 to 49 years of age. NHANES 1999–2006: n = 1150, pregnant women) were examined for this purpose. Children or women with blood lead ≥10 µg/dL or C-reactive protein (CRP) >5.0 mg/L were excluded. ID was defined as total body iron stores