Abstract Purpose It is still not clear whether to screen women with primary premature ovarian insufficiency for autoimmunity. Moreover, a possible association of autoimmunity with decreased bone mass density in premature ovarian insufficiency patients has not been evaluated. Thus, the objectives of this study were to review our experience with the use of an autoimmune screening panel in premature ovarian insufficiency women and to focus on bone mass density. Methods In a retrospective cohort study, 76 chromosomally normal women with primary premature ovarian insufficiency were included. The main outcome parameters were the results of an autoimmune screening panel and of dual-energy X-ray absorptiometry. Results Median age was 33 years. Sixty percent of premature ovarian insufficiency patients revealed abnormal dual-energy X-ray absorptiometry results (minimal T-score < −1.0). Any signs of autoimmunity were found in 21 women (36.2%). The most frequent abnormal results were increased thyroperoxidase antibodies (24.1%) and thyroglobulin antibodies (20.7%). A longer duration of amenorrhea (β = −0.015; p = 0.007), any abnormality during autoimmune screening (β = −0.940; p = 0.010), and a lower body mass index (β = −0.057; p = 0.036) were associated with a lower minimal T-score. Conclusion In chromosomally normal women with primary premature ovarian insufficiency, the prevalence of autoimmunity and decreased bone mass density seem high. Our data highlight the association between autoimmune abnormalities and decreased dual-energy X-ray absorptiometry results.