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Yup, according to a new mega-study, being overweight or obese is linked to higher risk of dying prematurely than being normal weight.  And the more you weigh, the greater the risk. This mega-study that looked at data from many studies and countries, also found that being underweight is linked to a higher risk of premature death. What's the best weight to be? A BMI of 22.5-<25 kg/m2 is considered a healthy weight range, and had the lowest mortality risk in the study. Being overweight was linked to higher rates of death from "all causes", and also from 4 major causes: coronary heart disease, stroke, respiratory disease, and cancer.

However, note that while other studies also agree that being underweight or obese increases the rate of dying prematurely, there is still some debate over whether being just overweight with BMI 25–<30 kg/m2 , really has a higher risk of dying prematurely. This was pointed out in the accompanying editorial in the journal Lancet (but not mentioned below). From Science Daily:

As overweight and obesity increase, so does risk of dying prematurely: Major study

Being overweight or obese is associated with a higher risk of dying prematurely than being normal weight -- and the risk increases with additional pounds, according to a large international collaborative study led by researchers at the Harvard T.H. Chan School of Public Health and the University of Cambridge, UK. The findings contradict recent reports that suggest a survival advantage to being overweight -- the so-called "obesity paradox."

The deleterious effects of excess body weight on chronic disease have been well documented. Recent studies suggesting otherwise have resulted in confusion among the public about what is a healthy weight. According to the authors of the new study, those prior studies had serious methodological limitations. One common problem is called reverse causation, in which a low body weight is the result of underlying or preclinical illness rather than the cause. Another problem is confounding by smoking because smokers tend to weigh less than nonsmokers but have much higher mortality rates.....Hu stressed that doctors should continue to counsel patients regarding the deleterious effects of excess body weight, which include a higher risk of diabetes, cardiovascular disease, and cancer.

For the new study, consortium researchers looked at data from more than 10.6 million participants from 239 large studies, conducted between 1970 and 2015, in 32 countries. A combined 1.6 million deaths were recorded across these studies, in which participants were followed for an average of 14 years. For the primary analyses, to address potential biases caused by smoking and preexisting diseases, the researchers excluded participants who were current or former smokers, those who had chronic diseases at the beginning of the study, and any who died in the first five years of follow-up, so that the group they analyzed included 4 million adults. They looked at participants' body mass index (BMI) -- an indicator of body fat calculated by dividing a person's weight in kilograms by their height in meters squared (kg/m2).

The results showed that participants with BMI of 22.5-<25 kg/m2 (considered a healthy weight range) had the lowest mortality risk during the time they were followed. The risk of mortality increased significantly throughout the overweight range: a BMI of 25-<27.5 kg/m2 was associated with a 7% higher risk of mortality; a BMI of 27.5-<30 kg/m2 was associated with a 20% higher risk; a BMI of 30.0-<35.0 kg/m2 was associated with a 45% higher risk; a BMI of 35.0-<40.0 kg/m2 was associated with a 94% higher risk; and a BMI of 40.0-<60.0 kg/m2 was associated with a nearly three-fold risk. Every 5 units higher BMI above 25 kg/m2 was associated with about 31% higher risk of premature death. Participants who were underweight also had a higher mortality risk.

Looking at specific causes of death, the study found that, for each 5-unit increase in BMI above 25 kg/m2, the corresponding increases in risk were 49% for cardiovascular mortality, 38% for respiratory disease mortality, and 19% for cancer mortality. Researchers also found that the hazards of excess body weight were greater in younger than in older people and in men than in women.