The purpose of this systematic review was to study the relative health risks of poor cardio-respiratory fitness (or physical inactivity) in normal-weight people vs. obesity in individuals with good cardio-respiratory fitness (or high physical activity). The core inclusion criteria were: publication year 1990 or later; adult participants; design prospective follow-up, case–control or cross-sectional; data on cardio-respiratory fitness and/or physical activity; data on BMI (body mass index), waist circumference or body composition; outcome data on all-cause mortality, cardiovascular disease mortality, cardiovascular disease incidence, type 2 diabetes or cardiovascular and type 2 diabetes risk factors. Thirty-six publications filled the criteria for inclusion. The data indicate that the risk for all-cause and cardiovascular mortality was lower in individuals with high BMI and good aerobic fitness, compared with individuals with normal BMI and poor fitness. In contrast, having high BMI even with high physical activity was a greater risk for the incidence of type 2 diabetes and the prevalence of cardiovascular and diabetes risk factors, compared with normal BMI with low physical activity. The conclusions of the present review may not be applicable to individuals with BMI > 35.