Catastrophic health expenditure (CHE) is a major obstacle to achieving universal health coverage, and body mass index (BMI) is linked to both health and economy. We aimed to explore the association of BMI with the risk of CHE to provide advice for reducing CHE. We used national cohort data from the China Family Panel Studies, which comprised 33,598 individuals (14,607 households) from 25 provinces between 2010 to 2018. We used multivariate Cox proportional hazard models to estimate adjusted hazard ratios (aHRs) and 95% confident interval (CI) for CHE in participants at underweight, overweight, and obesity, compared with those at normal weight. Restricted cubic splines were employed to model the association of continuous BMI scale with risk of CHE. We found that families with female household heads at underweight had a 42% higher risk of CHE (aHR = 1.42, 95%CI: 1.16–1.75), and those at overweight had a 26% increased risk of CHE (aHR = 1.26, 95%CI: 1.09–1.47), compared with those at normal weight. A weak U-shaped curve for the association of continuous BMI with risk of CHE in female-headed households (p for non-linear = 0.0008) was observed, which was not significant in male-headed households (p for non-linear = 0.8725). In female-headed households, underweight and overweight BMI are connected with a higher risk of CHE. Concerted efforts should be made to keep a normal BMI to prevent CHE.