The level of serum lipids is associated with bone mineral density (BMD), an important skeletal trait. Yet the causality has not been determined. Here we performed a Mendelian randomization (MR) analysis to test potential causal links between BMD and lipid profile, i.e., low-density lipoprotein cholesterol (LDC-c), total cholesterol (TC), triglyceride (TG) and high-density lipoprotein cholesterol (HDL-c). We observed causal effect of LDL-c, TC and TG to BMD, and reversely the effect of BMD to HDL-c. We further explored the effect of body mass index (BMI) in these causalities and found that the effect of LDL-c, TC and TG to BMD is independent of BMI. Our findings provided useful information in the clinical relevance of blood lipids on BMD variation and osteoporosis risk.