Immune‐mediated bone loss significantly impacts fracture risk in patients with autoimmune disease, but to what extent individual variations in immune responses affect fracture risk on a population level is unknown. To examine how immune responses relate to risk of hip fracture, we looked at the individual variation in a post‐vaccination skin test response that involves some of the immune pathways that also drive bone loss. From 1963 to 1975, the vast majority of the Norwegian adult population was examined as part of the compulsory nationwide Norwegian mass tuberculosis screening. These examinations included standardized tuberculin skin tests (TSTs). Our study population included young individuals (born 1940 to 1960 and aged 14 to 30 years at examination) who had all received Bacille Calmette‐Guerin (BCG) vaccination after a negative TST at least 1 year prior and had no signs of tuberculosis upon clinical examination. The study population ultimately included 244,607 individuals, whose data were linked with a national database of all hospitalized hip fractures in Norway from 1994 to 2013. There were 3517 incident hip fractures during follow‐up. Using a predefined Cox model, we found that men with a positive or a strong positive TST result had a 20% (hazard ratio [HR] = 1.20, 95% confidence interval [CI] 1.01–1.44) and 24% (HR = 1.24, 95% CI 1.03–1.49) increased risk of hip fracture, respectively, compared with men with a negative TST. This association was strengthened in sensitivity analyses. Total hip bone mineral density (BMD) was available for a limited subsample and similarly revealed a non‐significantly reduced BMD among men with a positive TST. Interestingly, no such clear association was observed in women. An increased immune response after vaccination is associated with an increased risk of hip fracture decades later among men, possibly because of increased immune‐mediated bone loss.