A number of studies from the literature have suggested that exposure to air pollutants is associated with a declined bone mineral density (BMD), and increased risks of osteoporosis (OP) and bone fractures. This study was performed to systemically assess the genetically causal associations of air pollutants with site-/age-specific BMD and risk of bone fractures with the implementation of two-sample Mendelian randomization (TSMR) and multivariate Mendelian randomization (MVMR). The TSMR analysis was implemented to infer the causal associations between air pollutants and BMD and the risk of bone fractures, additional MVMR analysis was used to further estimate the direct causal effects between air pollutants and BMD, the occurrence of OP, and bone fractures. The results showed that NOx exposure contributed to lower femoral neck BMD (FN-BMD) (β = −0.71, 95%CI: −1.22, −0.20, p = 0.006) and total body BMD (TB-BMD) (β = −0.55, 95%CI: −0.90, −0.21, p = 0.002). Additionally, exposure to PM10 was found to be associated with a decreased TB-BMD (B β = −0.42, 95%CI: −0.66, −0.18, p = 0.001), further age-specific subgroup analysis demonstrated the causal effect of PM10 exposure on the decreased TB-BMD in a subgroup aged 45 to 60 years (β = −0.70, 95%CI: −1.12, −0.29, p = 0.001). Moreover, the findings of the MVMR analysis implied that there was a direct causal effect between PM10 exposure and the decreased TB-BMD (45 < age < 60), after adjusting for PM2.5 and PM2.5 —10 exposure. Our study provides additional evidence to support the causal associations of higher concentrations of air pollutant exposure with decreased BMD, especially in those populations aged between 45 to 60 years, suggesting that early intervention measures and public policy should be considered to improve public health awareness and promote bone health.