The study aimed to utilize machine learning (ML) approaches and genomic data to develop a prediction model for bone mineral density (BMD) and identify the best modeling approach for BMD prediction. The genomic and phenotypic data of Osteoporotic Fractures in Men Study (n = 5130) was analyzed. Genetic risk score (GRS) was calculated from 1103 associated SNPs for each participant after a comprehensive genotype imputation. Data were normalized and divided into a training set (80%) and a validation set (20%) for analysis. Random forest, gradient boosting, neural network, and linear regression were used to develop BMD prediction models separately. Ten-fold cross-validation was used for hyper-parameters optimization. Mean square error and mean absolute error were used to assess model performance. When using GRS and phenotypic covariates as the predictors, all ML models’ performance and linear regression in BMD prediction were similar. However, when replacing GRS with the 1103 individual SNPs in the model, ML models performed significantly better than linear regression (with lasso regularization), and the gradient boosting model performed the best. Our study suggested that ML models, especially gradient boosting, can improve BMD prediction in genomic data.