We analyzed the relationships between bone mineral density (BMD) or bone turnover marker (BTM) changes and vertebral fracture incidence in women treated with bazedoxifene using a post hoc analysis from a 3-year randomized, placebo-controlled study evaluating the effect of bazedoxifene (20 or 40 mg) on fracture risk reduction. BMD was assessed at baseline and every 6 months for 3 years. Osteocalcin and C-telopeptide of type I collagen were assessed at baseline and at 3, 12, and 36 months. Vertebral fractures were assessed with a semiquantitative visual assessment. Data were available for 5,244 women, of whom 3,476 were treated with bazedoxifene. Using a logistic regression analysis and the classical Li approach, the proportion of fracture incidence explained by BMD change after 3 years of bazedoxifene treatment was 29 % for the total hip and 44 % for the femoral neck. The proportion of treatment explained by lumbar BMD change could not be quantified accurately because of the significant interaction between treatment and change in BMD. With the same model, the 12-month BTM changes explained up to 29 % of the fracture risk reduction observed with the two forms of bazedoxifene. In women treated with bazedoxifene, changes in femoral neck BMD, hip BMD, or BTMs explained a moderate proportion of the fracture risk reduction observed during the 3 years of follow-up. However, BMD or BTM changes cannot be recommended for individual monitoring of women treated with bazedoxifene.