diff --git a/pandas/core/generic.py b/pandas/core/generic.py
index 9cbe2f714fd57..fe412bc0ce937 100644
--- a/pandas/core/generic.py
+++ b/pandas/core/generic.py
@@ -6893,7 +6893,7 @@ def interpolate(
         obj = self.T if should_transpose else self
 
         if obj.empty:
-            return self
+            return self.copy()
 
         if method not in fillna_methods:
             axis = self._info_axis_number
diff --git a/pandas/tests/frame/methods/test_interpolate.py b/pandas/tests/frame/methods/test_interpolate.py
index 3c9d79397e4bd..6b86a13fcf1b9 100644
--- a/pandas/tests/frame/methods/test_interpolate.py
+++ b/pandas/tests/frame/methods/test_interpolate.py
@@ -38,6 +38,7 @@ def test_interp_empty(self):
         # https://github.com/pandas-dev/pandas/issues/35598
         df = DataFrame()
         result = df.interpolate()
+        assert result is not df
         expected = df
         tm.assert_frame_equal(result, expected)