<b><i>Aims:</i></b> The obesity paradox suggests a better prognosis in overweight or obese patients with heart failure and acute myocardial infarction (AMI) than patients with normal weight. Few studies have investigated the association between BMI and mortality in patients with AMI complicated by cardiogenic shock (AMICS). The aim of this study was to evaluate the association between BMI and 30-day mortality in patients with AMICS. <b><i>Methods and Results:</i></b> A retrospective study of 1,716 patients with AMICS treated at 2 tertiary centers in south-eastern Denmark between 2010 and 2017. Patients undergoing revascularization and who were admitted to the intensive care unit were included (<i>n</i> = 1,216). BMI was available in 1,017 patients (83.6%). Patients were divided according to the WHO classification as normal weight BMI &#x3c;24.9 kg/m² (<i>n</i> = 453), overweight BMI 25–29.9 kg/m² (<i>n</i> = 391), obese class 1 BMI 30–34.9 kg/m² (<i>n</i> = 131), and obese class 2 + 3 BMI &#x3e;35 kg/m² (<i>n</i> = 42). Differences in baseline characteristics, in-hospital treatment, and the primary outcome of all-cause mortality at 30 days were examined. Obese patients had more comorbidities such as diabetes, hypertension, and dyslipidemia than patients with normal weight. Need for renal replacement therapy was higher among obese patients (normal weight, 19% vs. obese class 2 + 3, 35%, <i>p</i> = 0.02); otherwise, no difference in management was found. No difference in 30-day mortality was observed between groups (normal weight 44%, overweight 38%, obese class 1 41%, and obese class 2 + 3 45% at 30 days; ns). <b><i>Conclusions:</i></b> Thirty-day mortality in patients with AMICS was not associated with the BMI category. Thus, evidence of an “obesity paradox” was not observed in this contemporary cohort of patients with AMICS in Denmark.