Peri-implantitis is a common implant-supported prosthesis complication, and marginal bone loss affects the stress distribution in implant systems. This three-dimensional finite element analysis study investigated how bone loss affects the implant assembly; in particular, models including two implant systems with different connection systems (external or internal hexagon), abutment materials (titanium or zirconia), and bone loss levels (0, 1.5, 3, or 5 mm) were created. We observed that the maximum von Mises stress distinctly increased in the groups with bone loss over 1.5 mm compared to the group without bone loss, regardless of the connection system or abutment material used. Moreover, the screw stress patterns with bone loss progression were determined more by the connection systems than by the abutment materials, and the magnitude of the stress on the fixture was affected by the connection systems with a similar pattern. The highest stress on the screw with the external hexagon connection system increased over 25% when bone loss increased from 3 to 5 mm, exceeding the yield strength of the titanium alloy (Ti–6Al–4V) when 5 mm bone loss exists; clinically, this situation may result in screw loosening or fracture. The highest stress on the fixture, exceeding the yield strength of pure titanium, was noted with the internal hexagon connection system and 1.5 mm bone loss. Titanium and zirconia abutments—both of which are clinically durable—presented similar screw and fixture stress patterns. Therefore, clinicians should pay more attention to maintaining the peri-implant bone to achieve the long-term stability of the implant-supported prosthesis.