The dark and humid environment of underground coal mines had a detrimental effect on workers’ skeletal health. Optimal risk prediction models can protect the skeletal health of coal miners by identifying those at risk of abnormal bone density as early as possible. A total of 3695 male underground workers who attended occupational health physical examination in a coal mine in Hebei, China, from July to August 2018 were included in this study. The predictor variables were identified through single-factor analysis and literature review. Three prediction models, Logistic Regression, CNN and XG Boost, were developed to evaluate the prediction performance. The training set results showed that the sensitivity of Logistic Regression, XG Boost and CNN models was 74.687, 82.058, 70.620, the specificity was 80.986, 89.448, 91.866, the F1 scores was 0.618, 0.919, 0.740, the Brier scores was 0.153, 0.040, 0.156, and the Calibration-in-the-large was 0.104, 0.020, 0.076, respectively, XG Boost outperformed the other two models. Similar results were obtained for the test set and validation set. A two-by-two comparison of the area under the ROC curve (AUC) of the three models showed that the XG Boost model had the best prediction performance. The XG Boost model had a high application value and outperformed the CNN and Logistic regression models in prediction.