A counterintuitive phenomenon of survival advantage in obese patients with heart failure (HF) is called obesity paradox. In this review, we emphasize that in nearly all research papers on this subject, there were marked differences between the groups with different body mass index (BMI). Surprisingly, these differences are very consistent and mostly in favor of patients with higher BMI. Obese individuals in HF studies almost invariably were characterized by much younger age, better nutritional status, higher blood pressure, less arrhythmia, less anemia, less valvular regurgitation, better left ventricular systolic function, better lungs, and better renal function. There is no paradox in their better survival. None of the studies confirming the obesity paradox were designed as prospective studies with the purpose to find the effects of BMI on survival. All the studies represent post hoc analysis of clinical trials designed for different purposes, or retrospective studies, or analysis of registries. Multiple baseline differences of subgroups with different BMI likely contribute to the obesity paradox, because not all variables influencing the outcomes can be accounted for.