The activins-follistatins-inhibins (AFI) hormonal system affects bone metabolism. Treatments that alter bone metabolism may also alter the AFI molecules. In this non-randomized, open-label, head-to-head comparative study, circulating levels of the AFI system were evaluated in postmenopausal women with osteoporosis treated for 12 months with either teriparatide (n = 23) or denosumab (n = 22). Τeriparatide treatment increased activin B (p = 0.01) and activin AB (p = 0.004) and the ratios activin A/follistatin (p = 0.006), activin B/follistatin (p = 0.007), activin AB/follistatin (p < 0.001) and activin AB/FSTL3 (p = 0.034). The significant p for trend in group*time interactions of activins B and AB and of the ratio activin AB/FSTL3 remained robust after adjustment for body mass index (BMI) and lumbar spine bone mineral density (LS BMD) but it was lost for activin B after adjustment for previous antiresorptive treatment. The effect of teriparatide on BMD was attenuated when it was adjusted for baseline activins levels or their 12-month changes. No changes were observed after denosumab treatment. In conclusion, activins B and AB, as well as the ratios of all activins to follistatin and of activin AB to FSTL3 increased with teriparatide treatment, possibly in a compensatory manner. Future studies are needed to study the potentially important role activins may play in bone biology and any associations with the effect of teriparatide on BMD.