We study Banach spaces of harmonic functions on open sets of \documentclass[12pt]{minimal}
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\begin{document}$$\mathbb R ^{N}$$\end{document} or \documentclass[12pt]{minimal}
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\begin{document}$$\mathbb C ^N$$\end{document} endowed with weighted supremum norms. We investigate the harmonic associated weight defined naturally as the analogue of the holomorphic associated weight introduced by Bierstedt, Bonet, and Taskinen and we compare them. We study composition operators with holomorphic symbol between weighted Banach spaces of pluriharmonic functions characterizing the continuity, the compactness and the essential norm of composition operators among these spaces in terms of associated weights.