Background Both high concentrations of N-terminal pro-brain natriuretic peptide (NT-proBNP) and obesity are related to higher heart failure risk. However, inverse relationships between NT-proBNP and obesity have been reported. Therefore, it was investigated whether the association between NT- proBNP and the risk of heart failure differed according to obesity status. Methods A case-cohort study was conducted within the European Prospective Investigation into Cancer and Nutrition (EPIC)-Potsdam, comprising a random sub-cohort (non-cases = 1,150, cases = 13, mean age: 50.5±9.0 years) and heart failure cases outside the sub-cohort (n = 197). Weighted Cox proportional hazards regression was used to examine the association between NT-proBNP and heart failure risk during a mean follow-up time of 8 years. Stratified analyses were performed according to obesity status as defined by body mass index (<30 kg/m2 versus ≥30 kg/m2). Results Overall, NT-proBNP was associated with higher risk of heart failure after multivariable adjustment (hazard ratio (HR) and 95% confidence interval (CI): 2.56 (1.49–4.41) for the top versus bottom tertile of NT-proBNP, ptrend:<0.01). In stratified analyses, the shape of association was linear in non-obese and U-shaped in obese participants: HRs (95%CI) from the first to the third tertile of NT-proBNP for non-obese: reference, 1.72 (0.85–3.49), 2.72 (1.42–5.22), and for obese: 3.29 (1.04–10.40), reference, 3.74 (1.52–9.21). Conclusions Although high circulating concentrations of NT-proBNP were positively associated with incident heart failure in the entire sample, the association differed according to obesity status. In obese, an increased risk of heart failure was also observed in those with low NT-proBNP concentrations. If confirmed, this observation warrants further investigation to understand underlying pathophysiological mechanisms.