Abdominal and general adiposity are independently associated with mortality, but there is no consensus on how best to assess abdominal adiposity. We compared the ability of alternative waist indices to complement body mass index (BMI) when assessing all-cause mortality. We used data from 352,985 participants in the European Prospective Investigation into Cancer and Nutrition (EPIC) and Cox proportional hazards models adjusted for other risk factors. During a mean follow-up of 16.1 years, 38,178 participants died. Combining in one model BMI and a strongly correlated waist index altered the association patterns with mortality, to a predominantly negative association for BMI and a stronger positive association for the waist index, while combining BMI with the uncorrelated A Body Shape Index (ABSI) preserved the association patterns. Sex-specific cohort-wide quartiles of waist indices correlated with BMI could not separate high-risk from low-risk individuals within underweight (BMI < 18.5 kg/m2) or obese (BMI ≥ 30 kg/m2) categories, while the highest quartile of ABSI separated 18–39% of the individuals within each BMI category, which had 22–55% higher risk of death. In conclusion, only a waist index independent of BMI by design, such as ABSI, complements BMI and enables efficient risk stratification, which could facilitate personalisation of screening, treatment and monitoring.