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Abstract Aims Weight loss (WL) is a poor prognostic factor for patients with heart failure (HF) with reduced ejection fraction. However, its prognostic impact on patients with HF with preserved ejection fraction (HFpEF) remains unestablished. The evidence regarding the effects of obesity on the prognosis of WL is also unclear. We aimed to identify the risk factors for WL and examine the association between WL and prognosis of HFpEF in obese and non‐obese patients. Methods and results In this multicentre cohort study, the data of 573 patients hospitalized with HFpEF [median age: 78 years (interquartile range, 71–84 years); 49.2% female] were identified from hospital databases. WL was defined as ≥5% weight reduction within 6 months after discharge. Obesity was defined according to Japanese criteria as body mass index ≥25 kg/m2. The main study outcomes were all‐cause mortality and HF rehospitalization between 6 and 24 months after hospital discharge. Logistic regression analysis and Cox proportional hazards regression analysis were performed to identify independent the risk factors associated with WL and to calculate the hazard ratios (HRs) associated with adverse outcomes. The prevalence of obesity at discharge was 21.1%. At 6 month follow‐up, WL occurred in 17.4% and 10.8% of the obese and non‐obese patients, respectively. Onset of WL in non‐obese patients was associated with prior hospitalization for HF [odds ratio (OR) 2.39, 95% confidence interval (CI) 1.22–4.68, P = 0.011] and high levels of brain natriuretic peptide (OR 2.32, CI 1.17–4.60, P = 0.015). In obese patients, WL was associated with the use of mineralocorticoid receptor antagonists (OR 3.26, CI 1.08–9.76, P = 0.03) and vasopressin receptor antagonists (OR 6.61, CI 2.03–21.2, P = 0.001). During 1021.3 person‐years of follow‐up, 31 patients died, and upon 1081.0 person‐years follow‐up, 84 patients required rehospitalization for HF. In proportional hazards analysis, WL was associated with all‐cause mortality (HR 5.12, CI 2.08–12.5, P |