The aim of this study is to analyze the relationship between the profitability of banks and the yield curve. By analyzing the banks of different sizes, the responses of the banks to the yield curve according to the scale size are investigated. The analysis includes 26 deposit banks operating in the Turkish banking sector and annual data for the period 2005-2017. In the study, while the yield curve is estimated with the Nelson-Siegel approach, the net interest margin variable is used to represent the profitability indicator of banks. Empirical findings were estimated by the system GMM approach. The findings show that there is a positive relationship between the slope of the yield curve and the profit margin of the banks. Accordingly, it can be said that the term structure of interest rates and the profit margin of the banks move in the same direction. In small-scale banks, there is no statistically significant relationship between the net interest margin and the slope of the yield curve.