The purpose of this study was to verify whether there is a causal relationship between breast cancer and bone mineral density (BMD). Summary statistics for exposures and outcomes were obtained from corresponding genome-wide association studies. The bidirectional and multivariate mediated Mendelian randomization (MR) analyses were performed. In the bidirectional MR analysis, breast cancer might reduce the BMD of the heel (HE-BMD) (FDR = 1.51 × 10-4) as might its ER+ subtype (FDR = 1.51 × 10-4). From BMD to breast cancer, no significant association was found (FDR > 0.05). The mediating MR analysis showed that Higher free testosterone (FT) only mediated the causal relationship between breast cancer and HE-BMD by 2.9%; both ER+ type and FT were independent factors of HE-BMD (ER+: P = 0.021; FT: P = 6.88 × 10-6). Higher FT could increase the risk of breast cancer (FDR = 1.21 × 10-3) as could total testosterone (TT) (FDR = 5.81 × 10-3). Similarly, higher FT could increase the risk of ER+ subtype (FDR = 2.51 × 10-6) as could TT (FDR = 5.55 × 10-4). These results indicate that BMD is not a risk factor for breast cancer but breast cancer and its ER+ subtype are risk factors for BMD loss. Furthermore, higher FT and TT levels are associated with both an increased incidence of breast cancer and increased bone density.