Osteoporosis is a common metabolic bone disease, influenced by genetic and environmental factors, that increases bone fragility and fracture risk and, therefore, has a serious adverse effect on the quality of life of patients. However, epigenetic mechanisms involved in the development of osteoporosis remain unclear. There is accumulating evidence that epigenetic modifications may represent mechanisms underlying the links of genetic and environmental factors with increased risk of osteoporosis and bone fracture. Some RNAs, such as microRNAs (miRNAs), long non-coding RNAs (lncRNAs), and circular RNAs (circRNAs), have been shown to be epigenetic regulators with significant involvement in the control of gene expression, affecting multiple biological processes, including bone metabolism. This review summarizes the results of recent studies on the mechanisms of miRNA-, lncRNA-, and circRNA-mediated osteoporosis associated with osteoblasts and osteoclasts. Deeper insights into the roles of these three classes of RNA in osteoporosis could provide unique opportunities for developing novel diagnostic and therapeutic approaches to this disease.