(1) Background: The aim of this study was to investigate whether the prognostic value of the atherogenic index of plasma (AIP) for adverse cardiovascular events in acute coronary syndrome (ACS) patients undergoing percutaneous coronary intervention (PCI) varied across different BMI groups. (2) Methods: This study was a retrospective analysis of a prospective registry involving 1725 ACS patients undergoing PCI. The primary endpoint was a composite of all-cause death, non-fatal ischemic stroke, non-fatal spontaneous myocardial infarction (MI), and unplanned repeat revascularization. (3) Results: The study population finally consisted of 526 patients with BMI < 24 kg/m² (age 62 ± 10 years; male 64.3%), 827 patients with 24 kg/m² ≤ BMI < 28 kg/m² (age 60 ± 10 years; male 81.8%), and 372 patients with BMI ≥ 28 kg/m² (age 57 ± 11 years; male 81.2%). The AIP as a continuous variable increased the risk for the primary endpoint in ACS patients undergoing PCI with BMI < 24 kg/m² (HR 2.506; 95% CI 1.285–4.885; p = 0.007), while it did not increase the risk in patients with BMI ≥ 24 kg/m² (hazard ratio [HR]: 1.747; 95% CI 0.921–3.316; p = 0.088 for patients with 24 kg/m² ≤ BMI < 28 kg/m²; and HR: 2.096; 95% CI 0.835–5.261; p = 0.115 for patients with BMI ≥ 28 kg/m², respectively). Compared with the lowest AIP tertile, the top AIP tertile was associated with a significantly increased risk of the primary endpoint in BMI < 24 kg/m² group (HR: 1.772, 95% CI: 1.110 to 2.828, p = 0.016). (4) Conclusions: The AIP was significantly associated with an increased risk of adverse cardiovascular events in ACS patients undergoing PCI with BMI < 24 kg/m², but not in the patients with BMI ≥ 24 kg/m².