Clinical psychological factors may predict medical diseases. Anxiety level has been associated with osteoporosis, but its role on bone mineral density (BMD) change is still unknown. This study aimed to investigate the association between anxiety levels and both adherence and treatment response to oral bisphosphonates (BPs) in postmenopausal osteoporosis. BMD and anxiety levels were evaluated trough dual-energy X-ray absorptiometry and the Hamilton Anxiety Rating Scale (HAM-A), respectively. Participants received weekly medication with alendronate or risedronate and were grouped according to the HAM-A scores into tertiles (HAM-A 3 > HAM-A 2 > HAM-A 1). After 24 months, BMD changes were different among the HAM-A tertiles. The median lumbar BMD change was significantly greater in both the HAM-A 2 and HAM-A 3 in comparison with the HAM-A 1. The same trend was observed for femoral BMD change. Adherence to BPs was >75% in 68% of patients in the HAM-A 1, 79% of patients in the HAM-A 2, and 89% of patients in the HAM-A 3 (p = 0.0014). After correcting for age, body mass index, depressive symptoms, and the 10-yr. probability of osteoporotic fractures, anxiety levels independently predicted lumbar BMD change (β = 0.3417, SE 0.145, p = 0.02). In conclusion, women with higher anxiety levels reported greater BMD improvement, highlighting that anxiety was associated with adherence and response to osteoporosis medical treatment, although further research on this topic is needed.