Osteoporosis, characterized by low bone mineral density (BMD), is an increasingly serious public health issue. So far, several traditional regression models and machine learning (ML) algorithms have been proposed for predicting osteoporosis risk. However, these models have shown relatively low accuracy in clinical implementation. Recently proposed deep learning (DL) approaches, such as deep neural network (DNN), which can discover knowledge from complex hidden interactions, offer a new opportunity to improve predictive performance. In this study, we aimed to assess whether DNN can achieve a better performance in osteoporosis risk prediction. By utilizing hip BMD and extensive demographic and routine clinical data of 8,134 subjects with age more than 40 from the Louisiana Osteoporosis Study (LOS), we developed and constructed a novel DNN framework for predicting osteoporosis risk and compared its performance in osteoporosis risk prediction with four conventional ML models, namely random forest (RF), artificial neural network (ANN), k-nearest neighbor (KNN), and support vector machine (SVM), as well as a traditional regression model termed osteoporosis self-assessment tool (OST). Model performance was assessed by area under 'receiver operating curve' (AUC) and accuracy. By using 16 discriminative variables, we observed that the DNN approach achieved the best predictive performance (AUC = 0.848) in classifying osteoporosis (hip BMD T-score ≤ -1.0) and non-osteoporosis risk (hip BMD T-score > -1.0) subjects, compared to the other approaches. Feature importance analysis showed that the top 10 most important variables identified by the DNN model were weight, age, gender, grip strength, height, beer drinking, diastolic pressure, alcohol drinking, smoke years, and economic level. Furthermore, we performed subsampling analysis to assess the effects of varying number of sample size and variables on the predictive performance of these tested models. Notably, we observed that the DNN model performed equally well (AUC = 0.846) even by utilizing only the top 10 most important variables for osteoporosis risk prediction. Meanwhile, the DNN model can still achieve a high predictive performance (AUC = 0.826) when sample size was reduced to 50% of the original dataset. In conclusion, we developed a novel DNN model which was considered to be an effective algorithm for early diagnosis and intervention of osteoporosis in the aging population.