This study aimed to assess the effects of different anthropometric indices and their changes on the risk of incident dyslipidemia among the Chinese population. From the Guizhou population health cohort study, 2989 Chinese adults without dyslipidemia at baseline were followed up. Anthropometric parameters including waist circumference (WC), body mass index (BMI), waist-to-height ratio (WHtR), and their changes in the latter two indices, and serum lipids were tested after at least 8 h fasting. Hazard ratio (HR), adjusted hazard ratio (aHR), and 95% confidential interval (CI) were calculated to estimate the association between anthropometric parameters and dyslipidemia risk using multivariate Cox regression. A total of 2089 (69.98%) new dyslipidemia cases were identified over an average follow-up of 7.0 years. Baseline BMI (aHR = 1.12, 95%CI 1.01, 1.23) and WHtR (aHR = 1.06, 95%CI 1.00, 1.13) were positively associated with higher risks of incident dyslipidemia but not WC. Each 5.0 kg/m2 increment of BMI or 0.05-unit increment of WHtR was significantly associated with 43% or 25% increased risk of incident dyslipidemia, respectively. The aHRs (95%CI) of incident dyslipidemia for subjects maintaining or developing general obesity were 2.19 (1.53, 3.12) or 1.46 (1.22, 1.75), and 1.54 (1.23, 1.82) or 1.30 (1.06, 1.60) for subjects maintaining or developing abdominal obesity, respectively. Linear trends for aHRs of BMI, WHtR change, and BMI change were observed (p for trend: 0.021, <0.001, <0.001, respectively). BMI, WHtR, and their changes were closely associated with the incidence of dyslipidemia for Chinese adults. Loss in BMI and WHtR had protective effects on incident dyslipidemia, whereas gain of BMI or WHtR increased the dyslipidemia risk. Interventions to control or reduce BMI and WHtR to the normal range are important for the early prevention of dyslipidemia, especially for participants aged 40 years or above, male participants, and urban residents with poor control of obesity.