Density is one of the most important biodiesel properties, because engine injection systems (pumps and injectors) must deliver an amount of fuel precisely adjusted to provide a proper combustion while minimizing greenhouse gas emissions. The pressure influence in fuel density has become particularly important with the increased use of modern common rail systems, where pressures can reach 250 MPa. Nevertheless, besides its importance, little attention has been given to high-pressure biodiesel densities. In fact, there are almost no reports in the literature about experimental high-pressure biodiesel density data. To overcome this lack of information, in this work, new experimental measurements, from 283 to 333 K and from atmospheric pressure to 45 MPa, were performed for methyl laurate, methyl myristate, and methyl oleate, for methyl biodiesels from palm, soybean, and rapeseed oils, and for three binary and one ternary mixture of these oils. Following previous works, where the cubic-plus-association equation of state (CPA EoS) was shown to be the most appropriate model to be applied to biodiesel production and purification processes, the new high-pressure experimental data reported here were also successfully predicted with the CPA EoS, with a maximum deviation of 2.5%. A discussion about the most appropriate CPA pure compound parameters for fatty acid methyl esters is also presented.