Although higher body mass index (BMI) increases the incidence of many cancers, BMI can also exhibit a null or U-shaped relationship with survival among patients with existing disease; this association of higher BMI with improved survival is termed the obesity paradox. This review discusses possible explanations for the obesity paradox, the prevalence and consequences of low muscle mass in cancer patients, and future research directions. It is unlikely that methodological biases, such as reverse causality or confounding, fully explain the obesity paradox. Rather, up to a point, higher BMI may truly be associated with longer survival in cancer patients. This is due, in part, to the limitations of BMI, which scales weight to height without delineating adipose tissue distribution or distinguishing between adipose and muscle tissue. Thus, cancer patients with higher BMIs often have higher levels of protective muscle. We assert that more precise measures of body composition are required to clarify the relationship of body size to cancer outcomes, inform clinical decision-making, and help tailor lifestyle interventions.