The associations of body mass index (BMI) and other anthropometric measurements with lung cancer were examined in 348,108 participants in the European Investigation Into Cancer and Nutrition (EPIC) between 1992 and 2010. The study population included 2,400 case patients with incident lung cancer, and the average length of follow-up was 11 years. Hazard ratios were calculated using Cox proportional hazard models in which we modeled smoking variables with cubic splines. Overall, there was a significant inverse association between BMI (weight (kg)/height (m)²) and the risk of lung cancer after adjustment for smoking and other confounders (for BMI of 30.0–34.9 versus 18.5–25.0, hazard ratio = 0.72, 95% confidence interval: 0.62, 0.84). The strength of the association declined with increasing follow-up time. Conversely, after adjustment for BMI, waist circumference and waist-to-height ratio were significantly positively associated with lung cancer risk (for the highest category of waist circumference vs. the lowest, hazard ratio = 1.25, 95% confidence interval: 1.05, 1.50). Given the decline of the inverse association between BMI and lung cancer over time, the association is likely at least partly due to weight loss resulting from preclinical lung cancer that was present at baseline. Residual confounding by smoking could also have influenced our findings.