Body mass index (BMI), a simple anthropometric measure, is the most frequently used measure of adiposity and has been instrumental in documenting the worldwide increase in the prevalence of obesity witnessed during the last decades. Although this increase in overweight and obesity is thought to be mainly due to environmental changes, i.e., sedentary lifestyles and high caloric diets, consistent evidence from twin studies demonstrates high heritability and the importance of genetic differences for normal variation in BMI. We analysed self-reported data on BMI from approximately 37,000 complete twin pairs (including opposite sex pairs) aged 20–29 and 30–39 from eight different twin registries participating in the GenomEUtwin project. Quantitative genetic analyses were conducted and sex differences were explored. Variation in BMI was greater for women than for men, and in both sexes was primarily explained by additive genetic variance in all countries. Sex differences in the variance components were consistently significant. Results from analyses of opposite sex pairs also showed evidence of sex-specific genetic effects suggesting there may be some differences between men and women in the genetic factors that influence variation in BMI. These results encourage the continued search for genes of importance to the body composition and the development of obesity. Furthermore, they suggest that strategies to identify predisposing genes may benefit from taking into account potential sex specific effects.