Several cross‐sectional studies have shown that impairment of bone microarchitecture contributes to skeletal fragility. The aim of this study was to prospectively investigate the prediction of fracture (Fx) by bone microarchitecture assessed by high‐resolution peripheral computed tomography (HR‐ pQCT) in postmenopausal women. We measured microarchitecture at the distal radius and tibia with HR‐pQCT in the OFELY study, in addition to areal BMD with dual‐energy X‐ray absorptiometry (DXA) in 589 women, mean ± SD age 68 ± 9 years. During a median [IQ] 9.4 [1.0] years of follow‐up, 135 women sustained an incident fragility Fx, including 81 women with a major osteoporotic Fx (MOP Fx). After adjustment for age, women who sustained Fx had significantly lower total and trabecular volumetric densities (vBMD) at both sites, cortical parameters (area and thickness at the radius, vBMD at the tibia), trabecular number (Tb.N), connectivity density (Conn.D), stiffness, and estimated failure load at both sites, compared with control women. After adjustment for age, current smoking, falls, prior Fx, use of osteoporosis‐related drugs, and total hip BMD, each quartile decrease of several baseline values of bone microarchitecture at the radius was associated with significant change of the risk of Fx (HR of 1.39 for Tb.BMD [p = 0.001], 1.32 for Tb.N [p = 0.01], 0.76 for Tb.Sp.SD [p = 0.01], 1.49 [p = 0.01] for Conn.D, and 1.27 for stiffness [p = 0.02]). At the tibia, the association remained significant for stiffness and failure load in the multivariate model for all fragility Fx and for Tt.BMD, stiffness, and failure load for MOP Fx. We conclude that impairment of bone microarchitecture—essentially in the trabecular compartment of the radius—predict the occurrence of incident fracture in postmenopausal women. This assessment may play an important role in identifying women at high risk of fracture who could not be adequately detected by BMD measurement alone, to benefit from a therapeutic intervention.