In this cross-sectional study we aimed to evaluate the relationship between physical fitness and bone variables across the body mass index (BMI) spectrum in women aged 20–35 years. The study included 13 underweight women (BMI < 18.5 kg/m2), 24 normal weight women (BMI 18.5–24.9 kg/m2), and 20 overweight/obese women (BMI ≥ 25 kg/m2) aged between 20 and 35 years. Bone mineral density (BMD) and content (BMC) at the whole body, lumbar spine, and femoral neck, lumbar spine trabecular bone score, femoral neck geometry were assessed using dual-energy X-ray absorptiometry. Cardiorespiratory fitness and lower limb muscle power were estimated using the 20-m shuttle run test and the Sargent jump test, respectively. The associations between bone variables and physical fitness were different according to BMI categories. Correlations between physical fitness and bone parameters are particularly significant in normal BMI and less significant in low and high BMI. Multivariate ANCOVA regression models demonstrated that absolute VO2max (L/min) is a strong determinant of all the bone parameters regardless of BMI. Implementing strategies for increasing VO2max (L/min) by increasing lean mass and promoting resistance and/or high-intensity interval training could be effective to optimize bone health in underweight and overweight young adult women.