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Little is known about the time course of muscle–bone effects and whether a reciprocal clinical effect of bone on muscle is present. We hypothesized that lean mass (LM) measures at the arms and legs have a stronger relationship with BMD measured within the same region than the reciprocal effect. The Tobago Bone Health Study was used to address this hypothesis, examining body composition data from total body DXA scans obtained at 0, 48‐, and 120‐month visits. A longitudinal analysis of LM, LM/height2 (LMI), and LM/BMI was conducted at the upper and lower extremities separately, in relation to BMD within the corresponding region. A cross‐lagged panel model was used to study pathways from 0 to 120 months for muscle–bone and bone–muscle effects within the same visit, and across each lagged period. Models accounted for age, height, weight, race, arthritis, prior nontraumatic fracture after age 40, number of units of alcohol consumed per week, current smoking, diagnosis of diabetes mellitus, amount of walking in the last week, grip strength, and hospitalizations. Significant models demonstrating parsimony, and meeting absolute and relative fit criteria were retained. Among 1286 Afro‐Caribbean men (mean age: 53 ± 9 years, BMI: 27.43 ± 4.23 kg/m2) with data available for all visits, LM, LMI, and LM/BMI had modest contemporaneous relationships with BMD, which dissipated with lagged time. The size of these effects was stronger at the legs than at the arms. These lagged effects were primarily mediated through indirect same time‐point muscle–bone relations rather than a true directly lagged effect. Bone density showed only a small effect on LM arm measures across lagged time, but this was impossible to tease‐out from same time‐point relations. These results suggest muscle–bone relationships are not long‐lasting at least beyond 48 months. Efforts to maintain muscle and bone strength should focus on shorter‐term interventions. More studies are needed with serial bone–muscle imaging over shorter periods. © 2020 The Authors. JBMR Plus published by Wiley Periodicals LLC on behalf of American Society for Bone and Mineral Research.