There is evidence that body fat is inversely associated with cognitive functioning in adults from the general population, and this has been associated with systemic inflammation. The association between body fat and cognition might further be augmented in the presence of an immune-mediated, inflammatory disease such as multiple sclerosis (MS). This cross-sectional study investigated the associations between objective measures of body composition and cognitive function in 60 persons with MS. Participants underwent a neurological examination for generating Expanded Disability Status Scale scores, followed by the Brief International Cognitive Assessment in Multiple Sclerosis neuropsychological battery for measurement of cognitive processing speed, verbal learning and memory, and visual learning and memory. Whole-body fat mass, percent body fat, lean body mass, and bone mineral density were measured using dual-energy X-ray absorptiometry. Whole-body fat mass and percent body fat were not associated with any cognitive outcome (all p > 0.41). However, lean body mass was associated with cognitive processing speed (p < 0.03), and bone mineral density was associated with cognitive processing speed and verbal learning and memory. Those associations were attenuated and nonsignificant after controlling for age and Expanded Disability Status Scale scores (p > 0.13). Body composition might not represent a target of interventions for improving cognitive processing speed or learning and memory in MS.