Effects of residential neighbourhood environments on health may vary across geographical space, with differences in local contexts influencing how much a given neighbourhood characteristic matters for the health of local residents. Linking UK Biobank data from 302,952 urban-dwelling adults in England, collected between 2006 and 2010, to publicly available Local Authority-level data, we examined (a) whether cross-sectional associations between body mass index (BMI) and two characteristics of the neighbourhood built environment (availability of formal physical activity facilities near home, and fast-food proximity) vary by Local Authority (LA), and (b) whether cross-level interactions with LA-level physical features (natural landcover) and socio-cultural attributes (local obesity norms) reveal evidence of effect modification by these features of the wider contexts in which neighbourhoods are located. We found variation across urban England in the relationship between availability of neighbourhood formal physical activity facilities and BMI, and some evidence suggesting this association was stronger among people living in areas with less natural landcover, especially in areas outside of London. We also found that the relationship between proximity of fast-food stores to people's homes and BMI varied geographically across England. Local descriptive obesity norms were not an important modifier of this association. This paper highlights the importance of considering potential geographical heterogeneity in relationships between the built environment and health, and the implications for generalisability of research findings. By seeking to better understand sources of geographical heterogeneity, we may be able to better adapt and target built environment interventions for population health improvement.