When the Supreme Personality of Godhead appears in this material world, He is not affected by the modes of material nature. Similarly, those who are always connected with the Supreme Personality of Godhead, even though they be within the material body or the material world, are not affected by the material qualities. That is explained very nicely in Bhagavad-gītā (14.26) :

māṁ ca yo ’vyabhicāreṇa bhakti-yogena sevate sa guṇān samatītyaitān brahma-bhūyāya kalpate

“One who is unflinchingly engaged in the devotional service of the Lord surpasses the material qualities and attains Brahman realization.” In this connection Śrīla Rūpa Gosvāmī says that if a person is always engaged in the service of the Lord with his body, words and mind, he is to be considered liberated although living in the material world.