Background/Objectives: Changes in muscle mass and bone density are common in multiple myeloma (MM) patients. Dual-energy X-ray absorptiometry (DXA) offers precise, non-invasive insights into a patient’s physical condition before autologous stem cell transplantation (autoHSCT). This study examines how pre-transplant body composition impacts treatment outcomes and early complications in MM patients undergoing autoHSCT. Methods: This study is a single-center, retrospective analysis of patients with MM who were treated with first or second autoHSCT and underwent DXA pre-transplant between 11 August 2019 and 12 June 2024. Results: We conducted a study of pre-transplant body composition in 127 patients with MM. Among them, 108 (85%) qualified for first autoHSCT, while 19 (15%) qualified for a second. The median age of the patients was 64 years (range 50–73). In the Cox proportional hazards regression conducted in the group of women, Total Body %Fat was a statistically significant predictor for progression-free survival (PFS) (HR = 0.07, 95% CI = 0.01,0.6, p = 0.0157). In the Mann–Whitney U test conducted on males, Lean Mass/Height2 and Appen. Lean Height2 were statistically significant predictors of early infections after autoHSCT (Z = 1.98, p = 0.0473 and Z = 2.32, p = 0.0204, respectively). In males, Fat Mass/Height2 was a significant predictor of non-infectious toxicity related to treatment (Z = −1.98, p = 0.0476). Conclusions: In women, higher levels of adipose tissue initially appear to exert a protective effect; however, this benefit diminishes over time, with greater fat mass eventually correlating with an increased risk of disease progression. In men, muscle mass has been identified as a significant predictor of early infection risk post-autoHSCT. Furthermore, our findings indicate that an increased amount of adipose tissue in men is statistically associated with a higher risk of non-infectious treatment-related toxicity. These conclusions highlight the critical need for further investigation into the role of body composition.