The role of progesterone receptor (PR) status on the association between obesity and prognosis of estrogen receptor positive (ER+) breast cancer (BC) remains poorly understood. We aim to examine whether this association varies according to the tumor PR status. Data for 3,747 women diagnosed with nonmetastatic ER+ invasive BC between 1995 and 2010 were analyzed. Women were classified according to their body mass index (BMI) (<18.5, 18.5–24.9, 25.0–29.9 or ≥30.0 kg/m2). Tumor PR status (PR−, PR+) was evaluated by immunohistochemistry. Hazard ratios (HR) for survival outcomes were estimated using multivariable Cox regression models. Effect modification was assessed on both additive and multiplicative scales using relative excess risk due to interaction and ratio of HRs, respectively. After a median follow‐up of 5.9 years (range: 3.4–9.2), women with PR− tumors and underweight (HR = 2.76, 95% CI: 1.40–4.91), overweight (HR = 2.02, 95% CI: 1.43–2.81) or obese (HR = 2.51, 95% CI: 1.67–3.65) had increased risk of all‐cause mortality, when compared to normal weight women with PR+ tumors. A similar pattern of associations was observed for BC‐specific mortality. In contrast, women with PR+ tumors had similar risks for both mortality outcomes, regardless of BMI. On the additive scale, all‐cause mortality was modified by PR status for overweight and obese women, whereas for BC‐specific mortality, it was only modified for underweight women. The same observations were found on the multiplicative scale. These results suggest that poorer survival associated with low and high BMI among women diagnosed with ER+ BC may depend on the tumor PR status.