Large eddy simulations (LES) are a powerful tool in understanding processes that are inaccessible by direct simulations due to their complexity, for example, in the highly turbulent regime. However, their accuracy and success depends on a proper subgrid-scale (SGS) model that accounts for the unresolved scales in the simulation. We evaluate the applicability of two traditional SGS models, namely the eddy-viscosity (EV) and the scale-similarity (SS) model, and one recently proposed nonlinear (NL) SGS model in the realm of compressible MHD turbulence. Using 209 simulations of decaying, supersonic (initial sonic Mach number Ms ≈ 3) MHD turbulence with a shock-capturing scheme and varying resolution, SGS model and filter, we analyze the ensemble statistics of kinetic and magnetic energy spectra and structure functions. Furthermore, we compare the temporal evolution of lower and higher order statistical moments of the spatial distributions of kinetic and magnetic energy, vorticity, current density, and dilatation magnitudes. We find no statistical influence on the evolution of the flow by any model if grid-scale quantities are used to calculate SGS contributions. In addition, the SS models, which employ an explicit filter, have no impact in general. On the contrary, both EV and NL models change the statistics if an explicit filter is used. For example, they slightly increase the dissipation on the smallest scales. We demonstrate that the nonlinear model improves higher order statistics already with a small explicit filter, i.e. a three-point stencil. The results of e.g. the structure functions or the skewness and kurtosis of the current density distribution are closer to the ones obtained from simulations at higher resolution. In addition, no additional regularization to stabilize the model is required. We conclude that the nonlinear model with a small explicit filter is suitable for application in more complex scenarios when higher order statistics are important.