It is unclear whether very high body mass index (BMI; weight (kg)/height (m)2) lowers risk of hip fracture. Our objectives in this study were 1) to examine the association between BMI and subsequent hip fracture according to sex and age and 2) to explore whether the importance of known risk factors varied across BMI. We followed 61,787 participants (29,511 female and 32,276 male) in the Cohort of Norway (ages 50–79 years at baseline in 1994–2003) with regard to hip fracture. BMI was calculated from measured height and weight. During a median follow-up period of 8.4 years, 1,603 women and 951 men suffered a hip fracture. Hazard ratios for hip fracture and associated 95% confidence intervals were estimated. After adjustment for potential confounders, women with BMI <22 had a hazard ratio of 1.38 (95% confidence interval (CI): 1.18, 1.60) for hip fracture, as compared with women with BMI 22–24.9; and women with BMI ≥30 had a hazard ratio of 0.57 (95% CI: 0.49, 0.66). Corresponding results in men were hazard ratio = 1.66 (95% CI: 1.35, 2.05) and hazard ratio = 0.77 (95% CI: 0.62, 0.96), respectively. Below age 70 years, there was no further decrease in fracture risk at BMIs of 25 or more, while in women aged 70–79 years, the risk continued to decrease with increasing BMI. The associations between risk factors and hip fracture were similar in strength across BMI strata.