Osteoporosis is a skeletal disorder commonly found among the elderly, in which the bones become weak, brittle, and more susceptible to fracture. Adequate knowledge and positive attitude towards the disease and osteoprotective activities may prevent osteoporosis, but comprehensive studies to verify this hypothesis are limited in Malaysia. This study aims to bridge the research gap by determining the levels of knowledge, beliefs, and practices regarding osteoporosis and their associations with bone mineral density (BMD) among men and women ≥ 40 years in Klang Valley, Malaysia. In this cross-sectional study, 786 Malaysians (382 men, 404 women) completed a questionnaire on knowledge, beliefs, and osteoprotective practices, and underwent BMD scan using a dual-energy X-ray absorptiometry device. The current study found moderate levels of knowledge and beliefs regarding osteoporosis but poor osteoprotective practices. Osteoporosis knowledge, beliefs, and practices were significantly different based on subjects’ demographic characteristics (p < 0.05). Osteoporosis knowledge and beliefs were correlated significantly with osteoprotective practices (p < 0.05). Bone health status of the subjects was associated positively with calcium supplement intake, and negatively with exercise barriers and smoking status of the subjects (p < 0.05). However, no significant correlation was noted between osteoporosis knowledge and bone health (p > 0.05). Conclusively, despite some correlations between individual components, the detachment between bone health knowledge and beliefs, and osteoprotective practices among Malaysians is apparent. Integrating all three components into a comprehensive osteoporosis prevention program is warranted.