Bone diseases are associated with great morbidity; thus, the understanding of the mechanisms leading to their development represents a great challenge to improve bone health. Recent reports suggest that a large number of molecules produced by immune cells affect bone cell activity. However, the mechanisms are incompletely understood. This review aims to shed new lights into the mechanisms of bone diseases involving immune cells. In particular, we focused our attention on the major pathogenic mechanism underlying periodontal disease, psoriatic arthritis, postmenopausal osteoporosis, glucocorticoid-induced osteoporosis, metastatic solid tumors, and multiple myeloma.