Background: This article presents cohort studies that use data from the National Health Information Survey from 1986 to 1994 and compares the effectiveness of Cox proportional hazards models that assume a linear relationship between body mass index (BMI) and the risk of prostate cancer with models that assume a J-shaped relationship. Methods and results: Our study found that for black males over 40 years of age, neither a linear nor a J-shaped relationship yielded a statistically significant model. With white males over 40 years, assuming a linear relationship did not yield a statistically significant model (P = 0.582). When we assume a J-shaped relationship, the optimal change point where the risk of prostate cancer death is minimized occurs when the BMI is 25.5. Among white males over 40 years with BMI < 25.5, an inverse relationship was found (P = 0.009). Among white males over 40 years with BMI > 25.5, a direct relationship was found (P = 0.017). Conclusion: With this data set, we found that for white males over 40 years, Cox proportional hazards models that assume a J-shaped relationship between BMI and prostate cancer death provide a much better fit than models assuming a linear relationship.