Factors associated with bone mineral density (BMD) are poorly known in severely obese individuals i.e., a body mass index (BMI) > 35 kg/m2. The objectives of this study were to describe the bone health profile of severely obese Brazilian women, to identify the health risk and health protective factors for BMD in this group and to assess whether these factors vary according to three different bone sites. BMD was assessed using dual-energy X-ray absorptiometry (DXA). This study analyzed baseline data from 104 women who had an average BMI of 43.7 ± 4.5 kg/m2 and presented the following BMD status: 1.283 ± 0.094 g/cm2 for total body, 1.062 ± 0.159 g/cm2 for vertebral column and 1.195 ± 0.134 g/cm2 for hip. They took part in the “Effect of nutritional intervention and olive oil in severe obesity” randomized clinical trial (DieTBra Trial). The risk factors negatively associated with lower BMD were age ≥50 years for the three bone sites i.e., total body, vertebral column and hip. Smoking for total body BMD (p = 0.045); BMI ≥ 50kg/m2 for vertebral column and hip; menopause for hip; high C-reactive protein (CRP) levels (p = 0.049), insufficient zinc (p = 0.010) and previous fracture for vertebral column (p = 0.007). The protective factors positively associated with BMD were physical activity (≥150 min/week (p = 0.001)) for hip; type 2 diabetes mellitus (DM2) (p < 0.0001) total body and adequate vitamin D levels from food consumption (p = 0.039) for vertebral column. A BMI ≥ 50 kg/m2 was a risk factor for lower BMD. The findings showed that protective and risk factors varied by bone site. The original study is registered with ClinicalTrials.gov. (protocol number: NCT02463435).