Bisphosphonates (BPs) are some of the most widely used drugs in osteoporosis (OP) treatment, but they can cause severe side effects such as bisphosphonate-related osteonecrosis of the jaw (BRONJ), causing great pain in patients. It is necessary to develop a novel drug for treating OP with fewer side effects. In this study, novel carbon dots, ALEN-CDs, derived from polyethylene glycol (PEG) and alendronate (ALEN) are developed. ALEN-CDs have good biocompatibility, photoluminescence (PL) properties, and bone-targeting ability. They can inhibit the differentiation and maturation of osteoclasts, play an immunoregulatory role by inhibiting macrophage polarization to the pro-inflammatory M1 phenotype, and promote polarization to the anti-inflammatory M2 phenotype. It is worth noting that compared with ALEN, high-dose applications of ALEN-CDs do not lead to BRONJ, which may be related to the regulatory effect on M2 macrophage polarization. Moreover, in vivo studies show that ALEN-CDs significantly reduce bone loss and improve OP in ovariectomized mice (OVX). And a proteomic analysis suggestes that ALEN-CDs regulate the bone immune microenvironment by affecting mitochondrial metabolism, especially oxidative phosphorylation (OXPHOS). In conclusion, ALEN-CDs could directly inhibit osteoclast differentiation and regulate the bone immune microenvironment and may be a promising drug for OP treatment.