Olive oil has been demonstrated to enhance various cardiometabolic risk factors. However, to our knowledge, the association between olive oil intake and cortical and trabecular bone microarchitecture has never been evaluated in Spanish women. We aimed to examine the association between olive oil intake and cortical and trabecular bone microarchitecture. We analyzed 523 women aged 50 (9) year, range (23–81) year. Participants underwent dual-energy X-ray absorptiometry and peripheral quantitative computed tomography scans. Dietary intake of calcium, vitamin D, energy and olive oil (g/day) were assessed by a self-administered food frequency questionnaire (FFQ). After adjustment for potential confounding factors (calcium (mg/day), vitamin D (μg/day) energy (Kcal/day), age, body mass index (BMI) (kg/m2), menopausal status, and osteoporotic diagnosis (normal, osteopenia, or osteoporosis)), there were significant increases in volumetric bone mineral density (vBMD) (mg/cm3) (p < 0.01) in the group with a higher intake of olive oil. Total, trabecular and cortical bone density were positively correlated with olive oil intake. The dietary intake of olive oil was significantly associated with vBMD in multiple regression analysis; total density: olive oil intake (g/day) standardized β = 0.185 (p < 0.001), trabecular density: olive oil intake (g/day) standardized β = 0.186 (p < 0.001) and cortical density olive oil intake (g/day) standardized β = 0.114 (p = 0.008). We conclude that the dietary intake of olive oil is positively associated with a better vBMD in Spanish women.