Examining interactions between numerous interlocking social identities and the systems of oppression and privilege that shape them is central to health inequalities research. Multilevel models are an alternative and novel approach to examining health inequalities at the intersection of multiple social identities. This approach draws attention to the heterogeneity within and between intersectional social strata by partitioning the total variance across two levels. Utilizing a familiar empirical example from social epidemiology—body mass index among U.S. adults (N = 32,788)—we compare the application of multilevel models to the conventional fixed effects approach to studying high-dimension interactions. Researchers are often confronted with the need to explore numerous interactions of identities and social processes. We explore the interactions of five dimensions of social identity and position—gender, race/ethnicity, income, education, and age—for a total of 384 unique intersectional social strata. We find that the multilevel approach provides advantages over conventional models, including scalability for higher dimensions, adjustment for sample size of social strata, model parsimony, and ease of interpretation. Considerable variation is attributable to the within-strata level, indicating the low discriminatory accuracy of these intersectional identities and the high within-strata heterogeneity of risk that remains unexplained. Multilevel modeling is an innovative and valuable tool for evaluating the intersectionality of health inequalities. •Multilevel models are a novel approach to studying intersectionality.•Multilevel models of high-dimension interactions have methodological advantages.•This approach enables exploration of intersectionality for all social strata.•We compare multilevel and conventional approaches empirically and with simulations.•We situate this method within epidemiologic debates and intersectional theory.