Body mass index (BMI) is closely associated with bone mineral density (BMD) in both men and women. However, the relationship between BMI and BMD varies according to different studies. Using SNPs strongly associated with BMI in 336,107 individuals, we conducted a two-sample Mendelian randomization study to identify whether and to what extent BMD at different skeletal sites was affected by BMI. A power calculation was also performed. We found that BMI may causally increase lumbar BMD (β 0.087;​ 95% CI 0.025 to 0.149;​ P = 0.006) and heel calcaneus BMD (β 0.120;​ 95% CI 0.082 to 0.157;​ P = 1 × 10–7). The associations of BMI with forearm and femoral neck BMD were not statistically significant. Our study suggested that higher BMI plays a causal role in increasing BMD and the effects are similar across the skeleton. BMI was causally and positively associated with lumbar and heel calcaneus BMD. However, no statistically significant effects were observed for BMI on femoral neck or forearm BMD.