Evidence about bone health in people affected by psychiatric disorders is limited. This narrative review aims to highlight what is known, up to the present time, about clinical connections between bone health and psychiatric disorders, particularly depressive disorders (DD) and bipolar disorders (BD), in terms of common biological pathways. Besides inflammation, we focused on two molecules of growing interest: neuropeptide Y (NPY) and the neuro-hormone melatonin. Also, the role of psychoactive drugs on bone tissue was explored. For the preparation of this narrative review, the scientific literature of the most recent 7 years from PubMed, Springer Nature, Science Direct (Elsevier), Wiley Online, ResearchGate, and Google Scholar databases was analyzed. Reviewed evidence reveals that people diagnosed with BD or DD have an increased risk of both fractures and osteoporosis; NPY reduces bone loss induced by longer periods of depression and “buffers” psychological stress effects on bone health. MLT shows beneficial effects in osteoporosis and bone healing. Lithium, a mood stabilizer, shows potential bone-protective activity, while antipsychotic and antidepressant treatments may increase the risk of bone tissue damage, though further investigation is needed.