We provide a method to design adaptive controllers for nonlinear systems using model predictive control (MPC). By combining a certainty-equivalent MPC formulation with least-mean-square parameter adaptation, we obtain an adaptive controller with strong robust performance guarantees: The cumulative tracking error and violation of state constraints scale linearly with noise energy, disturbance energy, and path length of parameter variation. A key technical contribution is developing the underlying certainty-equivalent MPC that tracks output references, accounts for actuator limitations and desired state constraints, requires no system-specific offline design, and provides strong inherent robustness properties. This is achieved by leveraging finite-horizon rollouts, artificial references, recent analysis techniques for optimization-based controllers, and soft state constraints. For open-loop stable systems, we derive a semi-global result that applies to arbitrarily large measurement noise, disturbances, and parametric uncertainty. For stabilizable systems, we derive a regional result that is valid within a given region of attraction and for sufficiently small uncertainty. Applicability and benefits are demonstrated with numerical simulations involving systems with large parametric uncertainty: a linear stable chain of mass-spring-dampers and a nonlinear unstable quadrotor navigating obstacles.