The association between selective serotonin reuptake inhibitor (SSRI) treatment and lower bone mineral density (BMD) remains controversial, and further research is required. This study aimed to compare the BMD, levels of bone formation and bone metabolism markers in medicated premenopausal Singaporean women with major depressive disorder (MDD) and matched healthy controls. We examined 45 women with MDD who received SSRI treatment (mean age: 37.64 ± 7) and 45 healthy controls (mean age: 38.1 ± 9.2). BMD at the lumbar spine, total hip and femoral neck were measured using dual-energy X-ray absorptiometry. We also measured bone formation markers, procollagen type 1 N-terminal propeptide (P1NP) and bone metabolism markers, osteoprotegerin (OPG) and receptor activator of nuclear factor-kappa-Β ligand (RANKL). There were no significant differences in the mean BMD in the lumbar spine (healthy controls: 1.04 ± 0.173 vs. MDD patients: 1.024 ± 0.145, p = 0.617, left hip (healthy controls: 0.823 ± 0.117 vs. MDD patients: 0.861 ± 0.146, p = 0.181) and right hip (healthy controls: 0.843 ± 0.117 vs. MDD patients: 0.85 ± 0.135, p = 0.784) between healthy controls and medicated patients with MDD. There were no significant differences in median P1NP (healthy controls: 35.9 vs. MDD patients: 37.3, p = 0.635), OPG (healthy controls: 2.6 vs. MDD patients: 2.7, p = 0.545), RANKL (healthy controls: 23.4 vs. MDD patients: 2178.93, p = 0.279) and RANKL/OPG ratio (healthy controls: 4.1 vs. MDD patients: 741.4, p = 0.279) between healthy controls and medicated patients with MDD. Chronic SSRI treatment might not be associated with low BMD in premenopausal Singaporean women who suffered from MDD. This finding may help female patients with MDD make an informed decision when considering the risks and benefits of SSRI treatment.