Low bone mineral density, which increases the risk of stress fragility fractures, is a frequent, often persistent finding in patients with major depressive disorder (MDD). The clinical association between major depressive disorder and osteopenia is still unclear, although several factors are associated with a loss of bone mass. The aim of our study, therefore, was to evaluate bone mineral density and bone metabolism in patients with MDD. Bone mineral density was evaluated in fifty postmenopausal women with MDD, and in 50 matched postmenopausal control women by dual-energy X-ray absorptiometry of the lumbar spine and femur, and by ultrasonography of the calcaneus and phalanges. Serum levels of 25-hydroxivitamin D, parathyroid hormone, Osteoprotegerin/Receptor Activator for Nuclear Factor κB Ligand ratio, bone turnover markers, serum and urinary cortisol were examined. Bone mineral density of the lumbar spine (BMD: 0.72 ± 0.06 vs. 0.82 ± 0.09 g/cm(2), p < 0.001), femoral neck (BMD: 0.58 ± 0.04 vs. 0.71 ± 0.07 g/cm(2), p < 0.001) and total femur (BMD 0.66 ± 0.09 vs. 0.54 ± 0.06 g/cm(2), p < 0.001); and ultrasound parameters at calcaneus (SI: 81.30 ± 6.10 vs. 93.80 ± 7.10, p < 0.001) and phalanges (AD-SOS: 1915.00 ± 37.70 vs. 2020.88 ± 39.46, p < 0.001; BTT : 1.30 ± 0.8 vs. 1.45 ± 0.9, p < 0.001) are significantly lower in patients with MDD compared with controls. Moreover bone turnover markers, parathyroid hormone levels and Receptor Activator for Nuclear Factor κB Ligand are significantly higher in MDD patients compared with controls, while serum levels of 25-hydroxivitamin D and osteoprotegerin are significantly lower. There are no differences in urinary excretion and serum cortisol between groups. Postmenopausal women with depressive disorder have an elevated risk for osteoporosis. Our data suggest that a high level of parathyroid hormone may play a role in the pathogenetic process underlying osteopenia in these patients.