The obesity paradox is characterized by a U- or J-shaped curve, suggesting that overweight individuals have a lower risk of mortality compared to their normal weight counterparts. It is largely unknown whether muscle density plays a role in the relationship between BMI and mortality. We use data from the Multi-Ethnic Study of Atherosclerosis, an ethnically diverse longitudinal study of males and females, to examine whether muscle density or sex modify the BMI-mortality relationship. Results indicate that obese males with high muscle density have a lower risk of mortality (HR: 0.59, 95% CI: (0.23, 1.50)) compared to their normal weight counterparts, while obese females with high muscle density have a higher risk of mortality (HR: 1.37, 95% CI: 0.63, 3.00)) compared to their normal weight counterparts. Our results show that muscle density is a mediator, but not an effect modifier, in the association between BMI and mortality. Sex is an effect modifier in this association, with attenuated risk of mortality among obese men (HR: 0.50, 95% CI: (0.36, 0.69)), but not obese women (HR: 0.95, 95% CI: (0.65, 1.39)). Overall, our data are consistent with the survival advantage seen in obese populations.