Background: The negative consequences of energy dense foods are well known, yet people increasingly make unhealthy food choices leading to obesity (i.e., risky decisions). The aims of this study were: [1] to compare performance in decision-making tasks under risk and under ambiguity between individuals with obesity, overweight and normal weight; [2] to examine the associations between body mass index (BMI) and decision-making, and the degree to which these associations are modulated by reward sensitivity. Methods: Seventy-nine adults were recruited and classified in three groups according to their BMI: obesity, overweight and normal-weight. Groups were similar in terms of age, education and socio-economic status, and were screened for comorbid medical and mental health conditions. Decision-making under risk was measured via the Wheel of Fortune Task (WoFT) and decision-making under ambiguity via the Iowa Gambling Task (IGT). Reward sensitivity was indicated by the Sensitivity to Punishment and Sensitivity to Reward Questionnaire (SPSRQ). Results: Individuals with obesity made riskier choices in the WoFT, specifically in choices with an expected value close to zero and in the propensity to risk index. No differences were found in IGT performance or SPSRQ scores. BMI was associated with risk-taking (WoFT performance), independently of reward sensitivity. Conclusions: Obesity is linked to a propensity to make risky decisions in experimental conditions analogous to everyday food choices.