Background: Perchlorate, nitrate, and thiocyanate are widely recognized as endocrine disrupting chemicals, which are closely related to thyroid function. Animal and human studies show a correlation between thyroid hormone and bone mineral density (BMD). However, it remains unknown whether perchlorate, nitrate, and thiocyanate were associated with BMD. This study aimed to explore the association between perchlorate, nitrate, and thiocyanate exposure with BMD. Method: A cross-sectional analysis among 5607 participants from the 2011–2018 National Health and Nutrition Examination Survey (NHANES) was conducted in the present study. Perchlorate, nitrate, and thiocyanate were detected in urine by ion chromatography. Survey-weighted generalized linear regression, restricted cubic splines, and qgcomp models were used to assess the association of BMDs with single and mixed perchlorate, nitrate, and thiocyanate exposures. In addition, age, gender, and BMI stratified these associations. Results: Negative associations were found between perchlorate and nitrate with BMDs. Furthermore, based on the qgcomp model results, the combined association of perchlorate, nitrate, and thiocyanate exposure was negatively associated with BMDs (β = −0.017, 95% CI: −0.041, −0.024 for total BMD; β = −0.017, 95% CI: −0.029, −0.005 for lumbar BMD). Additionally, there was a significant effect after gender, age, and BMI stratification between perchlorate, nitrate, and thiocyanate with BMDs in the normal weight group (β = −0.015, 95% CI: −0.020, −0.011 for total BMD; β = −0.022, 95% CI: −0.028, −0.016 for lumbar BMD) and children and adolescents group (β = −0.025, 95% CI: −0.031, −0.019 for total BMD; β −0.017, 95% CI: −0.029, −0.005 for lumbar BMD). Conclusions: The present study indicated a negative correlation between BMDs and urinary perchlorate, nitrate, and thiocyanate levels, with nitrate being the main contributor to the mixture effect. People with normal weight and children and adolescents were more likely to be affected.