This article reviews theoretical and practical approaches for setting priorities in global child health research investments. It also provides an overview of previous attempts to develop appropriate tools and methodologies to define priorities in health research investments. A brief review of the most important theoretical concepts that should govern priority setting processes is undertaken, showing how different perspectives, such as medical, economical, legal, ethical, social, political, rational, philosophical, stakeholder driven, and others will necessarily conflict each other in determining priorities. We specially address present research agenda in global child health today and how it relates to United Nation's (UN) Millennium Development Goal 4, which is to reduce child mortality by two-thirds between 1990 and 2015. The outcomes of these former approaches are evaluated and their benefits and shortcomings presented. The case for a new methodology for setting priorities in health research investments is presented, as proposed by Child Health and Nutrition Research Initiative, and a need for its implementation in global child health is outlined. A transdisciplinary approach is needed to address all the perspectives from which investments into health research can be seen as priorities. This prioritization requires a process that is transparent, systematic, and that would take into account many perspectives and build on advantages of previous approaches.