Abstract Aims/hypothesis Studies suggest decreased mortality risk among people who are overweight or obese compared with individuals with normal weight in type 2 diabetes (obesity paradox). However, the relationship between body weight or weight change and microvascular vs macrovascular complications of type 2 diabetes remains unresolved. We investigated the association between BMI and BMI change with long-term risk of microvascular and macrovascular complications in type 2 diabetes in a prospective cohort study. Methods We studied participants with incident type 2 diabetes from the European Prospective Investigation into Cancer and Nutrition (EPIC)-Potsdam cohort, who were free of cancer, cardiovascular disease and microvascular disease at diagnosis (n = 1083). Pre-diagnosis BMI and relative annual change between pre- and post-diagnosis BMI were evaluated in multivariable-adjusted Cox models. Results There were 85 macrovascular (myocardial infarction and stroke) and 347 microvascular events (kidney disease, neuropathy and retinopathy) over a median follow-up of 10.8 years. Median pre-diagnosis BMI was 29.9 kg/m² (IQR 27.4–33.2), and the median relative annual BMI change was −0.4% (IQR −2.1 to 0.9). Higher pre-diagnosis BMI was positively associated with total microvascular complications (multivariable-adjusted HR per 5 kg/m² [95% CI]: 1.21 [1.07, 1.36], kidney disease 1.39 [1.21, 1.60] and neuropathy 1.12 [0.96, 1.31]) but not with macrovascular complications (HR 1.05 [95% CI 0.81, 1.36]). Analyses according to BMI categories corroborated these findings. Effect modification was not evident by sex, smoking status or age groups. In analyses according to BMI change categories, BMI loss of more than 1% indicated a decreased risk of total microvascular complications (HR 0.62 [95% CI 0.47, 0.80]), kidney disease (HR 0.57 [95% CI 0.40, 0.81]) and neuropathy (HR 0.73 [95% CI 0.52, 1.03]), compared with participants with a stable BMI; no clear association was observed for macrovascular complications (HR 1.04 [95% CI 0.62, 1.74]). The associations between BMI gain compared with stable BMI and diabetes-related vascular complications were less apparent. Associations were consistent across strata of sex, age, pre-diagnosis BMI or medication but appeared to be stronger among never-smokers compared with current or former smokers. Conclusions/interpretation Among people with incident type 2 diabetes, pre-diagnosis BMI was positively associated with microvascular complications, while a reduced risk was observed with weight loss when compared with stable weight. The relationships with macrovascular disease were less clear. Graphical abstract