To assess the extent of error present in self-reported weight data in the Women’s Health Initiative, variables that may be associated with error, and to develop methods to reduce any identified error. Design Prospective cohort study. Setting Forty clinical centres in the USA. Participants Women (n 75 336) participating in the Women’s Health Initiative Observational Study (WHI-OS) and women (n 6236) participating in the WHI Long Life Study (LLS) with self-reported and measured weight collected about 20 years later (2013–2014). Results The correlation between self-reported and measured weights was 0·97. On average, women under-reported their weight by about 2 lb (0·91 kg). The discrepancies varied by age, race/ethnicity, education and BMI. Compared with normal-weight women, underweight women over-reported their weight by 3·86 lb (1·75 kg) and obese women under-reported their weight by 4·18 lb (1·90 kg) on average. The higher the degree of excess weight, the greater the under-reporting of weight. Adjusting self-reported weight for an individual’s age, race/ethnicity and education yielded an identical average weight to that measured. Conclusions Correlations between self-reported and measured weights in the WHI are high. Discrepancies varied by different sociodemographic characteristics, especially an individual’s BMI. Correction of self-reported weight for individual characteristics could improve the accuracy of assessment of obesity status in postmenopausal women.