Among the different effects of bariatric surgery, here we focus on bone-derived inflammatory molecules, and in particular, sclerostin; an osteocyte product potentially associated with cardio-metabolic diseases. In 94 morbidly obese patients undergoing laparoscopic sleeve gastrectomy (SG), over-time changes in anthropometric and biochemical measures—including insulin resistance (IR) indexes—were correlated with serum sclerostin levels. Sclerostin was positively associated with anthropometric indexes of obesity, and inversely with IR, namely homeostatic model assessment for peripheral insulin sensitivity (HOMA2%S) (r = −0.218; p = 0.045). Sclerostin emerged as the only significant predictor of HOMA2-%S normalization, independently of demographic and anthropometric variables (OR 1.01 (95% CI 1.00–1.02); p = 0.024). We also identified two distinct patterns of serum sclerostin change: the higher/lower sclerostin levels at baseline, the greater their post-surgical reduction/increase (p < 0.001 for all subgroups). Among those two patterns, especially the post-surgery increase in serum sclerostin was associated with lean mass reduction, without any association with IR indexes. Although counterintuitive, this change was likely dependent on the post-surgical increase in bone turnover. In conclusion, baseline serum levels of sclerostin correlate with anthropometric measures of obesity and IR, and the ability to predict glycemic improvements after SG. Specifically, serum sclerostin was closely associated with peripheral insulin sensitivity (HOMA2-%S), thus supporting the role of skeletal muscle/bone interactions in metabolic diseases.