The Navier-Stokes transport coefficients of multicomponent granular suspensions at moderate densities are obtained in the context of the (inelastic) Enskog kinetic theory. The suspension is modeled as an ensemble of solid particles where the influence of the interstitial gas on grains is via a viscous drag force plus a stochastic Langevin-like term defined in terms of a background temperature. In the absence of spatial gradients, it is shown first that the system reaches a homogeneous steady state where the energy lost by inelastic collisions and viscous friction is compensated for by the energy injected by the stochastic force. Once the homogeneous steady state is characterized, a normal solution to the set of Enskog equations is obtained by means of the Chapman-Enskog expansion around the local version of the homogeneous state. To first order in spatial gradients, the Chapman-Enskog solution allows us to identify the Navier-Stokes transport coefficients associated with the mass, momentum, and heat fluxes. In addition, the first-order contributions to the partial temperatures and the cooling rate are also calculated. Explicit forms for the diffusion coefficients, the shear and bulk viscosities, and the first-order contributions to the partial temperatures and the cooling rate are obtained in steady-state conditions by retaining the leading terms in a Sonine polynomial expansion. The results show that the dependence of the transport coefficients on inelasticity is clearly different from that found in its granular counterpart (no gas phase). The present work extends previous theoretical results for dilute multicomponent granular suspensions [Khalil and Garzó, Phys. Rev. E 88, 052201 (2013)10.1103/PhysRevE.88.052201] to higher densities.