Background: Osteoporosis develops in the elderly due to decreased bone mineral density (BMD), potentially increasing bone fracture risk. However, the BMD is not regularly measured in a clinical setting. This study aimed to develop a good prediction model for the osteoporosis risk using a machine learning (ML) approach in adults over 40 years in the Ansan/Anseong cohort and the association of predicted osteoporosis risk with a fracture in the Health Examinees (HEXA) cohort. Methods: The 109 demographic, anthropometric, biochemical, genetic, nutrient, and lifestyle variables of 8,842 participants were manually selected in an Ansan/Anseong cohort and included in the ML algorithm. The polygenic risk score (PRS) of osteoporosis was generated with a genome-wide association study and added for the genetic impact of osteoporosis. Osteoporosis was defined with < −2.5 T scores of the tibia or radius compared to people in their 20s–30s. They were divided randomly into the training (n = 7,074) and test (n = 1,768) sets—Pearson’s correlation between the predicted osteoporosis risk and fracture in the HEXA cohort. Results: XGBoost, deep neural network, and random forest generated the prediction model with a high area under the curve (AUC, 0.86) of the receiver operating characteristic (ROC) with 10, 15, and 20 features; the prediction model by XGBoost had the highest AUC of ROC, high accuracy and k-fold values (> 0.85) in 15 features among seven ML approaches. The model included the genetic factor, genders, number of children and breastfed children, age, residence area, education, seasons to measure, height, smoking status, hormone replacement therapy, serum albumin, hip circumferences, vitamin B6 intake, and body weight. The prediction models for women alone were similar to those for both genders, with lower accuracy. When the prediction model was applied to the HEXA study, the correlation between the fracture incidence and predicted osteoporosis risk was significant but weak (r = 0.173, P < 0.001). Conclusion The prediction model for osteoporosis risk generated by XGBoost can be applied to estimate osteoporosis risk. The biomarkers can be considered for enhancing the prevention, detection, and early therapy of osteoporosis risk in Asians.