Objective: The objectives of this study were to describe the trajectories of bone mineral density (BMD) and trabecular bone score (TBS) changes throughout pre-menopause (reproductive phase and menopausal transition) and post-menopause (early and late menopause) in women with HIV (WWH) undergoing different antiretroviral therapies (ARTs) and explore the risk factors associated with those changes. Methods: This was an observational longitudinal retrospective study in WWH with a minimum of two DEXA evaluations comprising BMD and TBS measurements, both in the pre-menopausal and post-menopausal periods. Menopause was determined according to the STRAW+10 criteria, comprising four periods: the reproductive period, menopausal transition, and early- and late-menopausal periods. Mixed-effects models were fitted to estimate the trajectories of the two outcomes (BMD and TBS) over time. Annualized lumbar BMD and TBS absolute and percentage changes were calculated in each STRAW+10 time window. A backward elimination procedure was applied to obtain the final model, including the predictors that affected the trajectories of BMD or TBS over time. Results: A total of 202 WWH, all Caucasian, were included. In detail, 1954 BMD and 195 TBS data were analyzed. The median number of DEXA evaluations per woman was 10 (IQR: 7, 12). The median observation periods per patient were 12.0 years (IQR = 8.9–14.4) for BMD and 6.0 years (IQR: 4.3, 7.9) for TBS. The prevalence of osteopenia (63% vs. 76%; p < 0.001) and osteoporosis (16% vs. 36%; p < 0.001) increased significantly between the pre-menopausal and post-menopausal periods. Both BMD (1.03 (±0.14) vs. 0.92 (±0.12) g/cm2; p < 0.001) and TBS (1.41 (IQR: 1.35, 1.45) vs. 1.32 (IQR: 1.28, 1.39); p < 0.001) decreased significantly between the two periods. The trend in BMD decreased across the four STRAW+10 periods, with a slight attenuation only in the late-menopausal period when compared with the other intervals. The TBS slope did not significantly change throughout menopause. The delta mean values of TBS in WWH were lower between the menopausal transition and reproductive period compared with the difference between menopause and menopausal transition. Conclusions: Both BMD and TBS significantly decreased over time. The slope of the change in BMD and TBS significantly decreased in the menopausal transition, suggesting that this period should be considered by clinicians as a key time during which to assess bone health and modifiable risk factors in WWH.