The aim of the present study was to compare individual associations of BMI, triceps skinfold (TSF), waist circumference (WC) and percentage fat mass (%FM) with blood pressure (BP) and blood lipids in children and adolescents. Cross-sectional data on BMI, TSF, WC, %FM as well as on BP, TAG and HDL were analysed in 4220 (BP) and 729 (lipids) 9–11-year-old children and 3174 (BP) and 536 (lipids) 13–16-year-old adolescents as part of the Kiel Obesity Prevention Study. All obesity indices were similarly associated with BP and blood lipids. In girls, WC had closer correlations to BP than BMI (systolic BP: 0·27 and 0·24 for BMI, 0·34 and 0·28 for WC in 9–11- and 13–16-year-olds). Subjects with an obesity index ≥ 90th percentile had higher prevalences of elevated BP and blood lipids than subjects with a normal index. In children with normal BMI or WC, an additionally elevated second obesity index was associated with a 2·5–7·4-fold higher prevalence of high BP when compared with children with normal indices. In adolescents, an elevated WC plus an elevated second obesity index was associated with a 2·6–8·2-fold higher prevalence of high BP when compared with adolescents with an elevated WC plus a normal second index. We conclude that (i) both BMI and WC are appropriate to estimate CVD risk, (ii) the use of a second obesity index is recommended in children with normal BMI or normal WC as well as in adolescents with elevated WC and (iii) all obesity indices seemed to be appropriate for risk assessment.