The obesity paradox has been described in several observational cohorts and meta-analysis. However, evidence of the intentionality of weight loss in all-cause deaths and major cardiovascular events (MACE) in prospective cohorts is unclear. We analysed whether involuntary weight loss is associated with increased cardiovascular events and mortality. In a systematic review, we searched multiple electronic databases for observational studies published up to October 2016. Studies reporting risk estimates for unintentional weight loss compared with stable weight in MACE and mortality were included. Fifteen studies met the selection criteria, with a total of 178,644 participants. For unintentional weight loss, we found adjusted risk ratios (RRs) with confidence intervals (CIs) of 1.38 (95% CI: 1.23, 1.53) and 1.17 (95% CI: 0.98, 1.37) for all-cause mortality and MACE, respectively. Participants with comorbidities, overweight and obese populations, and older adults yielded RRs (95% CI) of 1.49 (1.30, 1.68), 1.11 (1.04, 1.18), and 1.81 (1.59, 2.03), respectively. Unintentional weight loss had a significant impact on all-cause mortality. We found no protective effect of being overweight or obese for unintentional weight loss and MACE.