In this paper we introduce MUSCLE, a dataset for MUltilingual lexico-Semantic Classification of Links between Entities. The MUSCLE dataset was designed to train and evaluate Lexical Relation Classification (LRC) systems with 27K pairs of universal concepts selected from Wikidata, a large and highly multilingual factual Knowledge Graph (KG). Each pair of concepts includes its lexical forms in 25 languages and is labeled with up to five possible lexico-semantic relations between the concepts: hypernymy, hyponymy, meronymy, holonymy, and antonymy. Inspired by Semantic Map theory, the dataset bridges lexical and conceptual semantics, is more challenging and robust than previous datasets for LRC, avoids lexical memorization, is domain-balanced across entities, and enables enrichment and hierarchical information retrieval.