Osteoporosis (OP) and vascular calcification (VC) represent relevant health problems that frequently coexist in the elderly population. Traditionally, they have been considered independent processes, and mainly age-related. However, an increasing number of studies have reported their possible direct correlation, commonly defined as “bone-vascular crosstalk”. Vitamin K2 (VitK2), a family of several natural isoforms also known as menaquinones (MK), has recently received particular attention for its role in maintaining calcium homeostasis. In particular, VitK2 deficiency seems to be responsible of the so-called “calcium paradox” phenomenon, characterized by low calcium deposition in the bone and its accumulation in the vessel wall. Since these events may have important clinical consequences, and the role of VitK2 in bone-vascular crosstalk has only partially been explained, this review focuses on its effects on the bone and vascular system by providing a more recent literature update. Overall, the findings reported here propose the VitK2 family as natural bioactive molecules that could be able to play an important role in the prevention of bone loss and vascular calcification, thus encouraging further in-depth studies to achieve its use as a dietary food supplement.