Running-related impact shock is absorbed via biological tissue deformation. Given known sex differences in body composition, shock attenuation may also differ between sexes thereby influencing sex-specific running-related injury risk. This study examined sex differences in body composition and shock attenuation during running. Seventeen female (mean ± 1SD age: 34.7 ± 16.1) and twenty-one male runners (age: 29.0 ± 13.8) ran overground as inertial measurement units with triaxial accelerometers measured impact shock at the distal tibia and low-back. Frequency-domain axial and resultant shock attenuation were calculated between the low-back relative to the tibia using a transfer function of the power spectral density within 9–20, 21–35, and 36–50 Hz. Bone mineral density and content, fat and lean mass were measured in the lower extremity and pelvis/gynoid regions using dual x-ray absorptiometry. The association between sex and shock attenuation was tested using age-adjusted linear regression models, adjusted and unadjusted for body composition as a post-hoc analysis (α = 0.05). Body composition variables normalized to body mass were compared between sexes using independent samples t-tests (α = 0.05). Body composition differed between sexes (p-range: <0.001–0.01, Cohen’s d range: 0.17–2.41). Before adjusting for body composition, sex was not significantly associated with axial or resultant shock attenuation (p > 0.05), but adjusting for select body composition variables like lower extremity lean and bone mass revealed greater attenuation in females than males (β-range: −124.76 to −46.42, negative indicates greater attenuation; p-range = 0.004–0.04). Sex may not influence shock attenuation during running, but body composition must be accounted for to better understand this association and consequently sex-specific tissue capacities relative to applied loads.