To investigate the prospective relationship between macronutrient intake and overweight/obesity, data were collected in the China Health and Nutrition Survey (CHNS) from 1991 to 2018. Adults who participated in at least two waves of the survey and were not obese at baseline were selected as the study subjects. A total of 14,531 subjects were finally included with complete data. Overweight/obesity was defined as a body mass index (BMI) ≥ 24.0 kg/m2. The generalized estimating equation (GEE) was used to analyze the relationship between the percentage of energy intake from macronutrients and BMI and overweight/obesity. The percentages of energy intake from protein and fat showed an increasing trend (p < 0.01), and the percentage of energy intake from carbohydrate showed a decreasing trend (p < 0.01) among Chinese adults between 1991 and 2018. Adjusting for covariates, the energy intake from fat was positively correlated with BMI, while the energy intake from carbohydrates was negatively correlated with BMI. The percentage of energy intake from non-high-quality protein and polyunsaturated fatty acids (PUFA) were positively correlated with overweight/obesity. In contrast, monounsaturated fatty acids (MUFA) and high-quality carbohydrates were negatively correlated with overweight/obesity. In short, fat, non-high-quality protein, saturated fatty acids (SFA), and PUFA were positively correlated with the risk of obesity, whereas higher carbohydrate, MUFA, and high-quality carbohydrate intake were associated with a lower risk of obesity. Obesity can be effectively prevented by appropriately adjusting the proportion of intake from the three major macronutrients.