Whether being overweight or obese is associated with increased risk of iron deficiency anemia (IDA) remains controversial. We evaluated the dietary intakes and risk for IDA in relation to body mass index (BMI). One thousand two hundred and seventy-four females aged ≥19 years, enrolled in the third Nutrition and Health Survey in Taiwan (NAHSIT) 2005–2008, were selected. Half of the women were either overweight (24.0%) or obese (25.3%). The overall prevalence of anemia, iron deficiency and IDA among adult women was 19.5%, 8.6% and 6.2%. BMI showed a protective effect on IDA: overweight (odds ratio, OR: 0.365 (0.181–0.736)) and obese (OR: 0.480 (0.259–0.891)) when compared with normal weight. Univariate analysis identified increased IDA risk for overweight/obese women who consumed higher dietary fat but lower carbohydrate (CHO) (OR: 10.119 (1.267–80.79)). No such relationship was found in IDA women with normal weight (OR: 0.375 (0.036–4.022)). Analysis of interaction(s) showed individuals within the highest BMI tertile (T3) had the lowest risk for IDA and the risk increased with increasing tertile groups of fat/CHO ratio; OR 0.381 (0.144–1.008; p = 0.051), 0.370 (0.133–1.026; p = 0.056) and 0.748 (0.314–1.783; p = 0.513); for T1, T2 and T3, respectively. In conclusion, a protective effect of BMI on IDA may be attenuated in women who had increased fat/CHO ratio.