Morbidities and mortalities caused by malaria are still a serious issue in Nigeria, with the country accounting for 25% of malaria morbidities and 24% of malaria mortalities globally in 2018. Treated bed nets reduce the incidence of malaria, but not all Nigerians use them. This study aimed to examine the factors associated with treated bed net usage, including perceived severity of malaria, and the rural–urban differences in the relationship between socio-demographic factors and use of treated bed nets in Nigeria. The analytic sample size comprised 40,693 women aged 15–49 years. Poisson regression and bivariable and multivariable analyses were used to test the study hypothesis that women who agreed that malaria could potentially lead to death would be more likely to adopt malaria preventive measures, including treated bed net use. About 48% of the women slept under a treated mosquito net the night before the survey. Those who perceived that malaria could lead to death had a higher likelihood of using a treated bed net in the urban, rural and combined samples. However, in the multivariable model, the association between perceived malaria severity and use of a treated bed net was only significant for rural women (APR=0.964, 95% CI: 0.933, 0.996). The results unexpectedly suggest that rural Nigerian women who perceive malaria to be severe have a lower likelihood of using treated bed nets. Also, rural–urban variations in the relationship between the socio-demographic variables and use of treated bed nets were observed. Policies should consider the observed rural–urban dichotomy in the influence of perceived severity of malaria and other socio-demographic factors on women’s use of treated bed nets in Nigeria.