Previous observational studies on statins have shown variable results based on the methodology used. Our objective was to study the association between statins and orthopedic implant failure and to explore the influence of methodological differences in study design. Our study base consisted of patients with a primary total joint replacement in Denmark and the United Kingdom (n = 189,286; 1987–2012). We used 4 study designs: 1) case-control (each patient with revision surgery matched to 4 controls), 2) time-dependent cohort (postoperative statin use as a time-varying exposure variable), 3) immortal time cohort (misclassifying the time postoperatively before statin use), and 4) time-exclusion cohort (excluding the time postoperatively before statin use). Cox proportional hazards models and logistic regression were used to estimate incidence rate ratios. In the time-dependent cohort design, statin use was associated with a decreased risk of revision surgery (adjusted incidence rate ratio (IRR) = 0.90, 95% confidence interval (CI): 0.85, 0.96), which was similar to our case-control results (IRR = 0.87, 95% CI: 0.81, 0.93). In contrast, both time-fixed cohort designs yielded substantially lower risk estimates (IRR = 0.36 (95% CI: 0.34, 0.38) and IRR = 0.65 (95% CI: 0.63, 0.68), respectively). We discourage the use of time-fixed cohort studies, which may falsely suggest protective effects. The simple choice of how to classify exposure can substantially change results from biologically plausible to implausible.