Extrusion cooking, as a multi-step, multi-functional and thermal/mechanical process, has permitted a large number of food applications. Effects of extrusion cooking on nutritional quality are ambiguous. Beneficial effects include destruction of antinutritional factors, gelatinisation of starch, increased soluble dietary fibre and reduction of lipid oxidation. On the other hand, Maillard reactions between protein and sugars reduce the nutritional value of the protein, depending on the raw material types, their composition and process conditions. Heat-labile vitamins may be lost to varying extents. Changes in proteins and amino acid profile, carbohydrates, dietary fibre, vitamins, mineral content and some non-nutrient healthful components of food may be either beneficial or deleterious. The present paper reviews the mechanisms underlying these changes, as well as the influence of process variables and feed characteristics. Mild extrusion conditions (high moisture content, low residence time, low temperature) improve the nutritional quality, while high extrusion temperatures (200 °C), low moisture contents (<15%) and/or improper formulation (e.g. presence of high-reactive sugars) can impair nutritional quality adversely. To obtain a nutritionally balanced extruded product, careful control of process parameters is essential.