Skeletal alterations and their complications can significantly impact the quality of life and overall prognosis of patients living with HIV (PLWHIV). Considering skeletal alterations are often asymptomatic and unapparent during routine clinical evaluation, these conditions are frequently overlooked in the clinical management of PLWHIV. However, since the use of combined antiretroviral therapy (cART) has increased life expectancy in PLWHIV effectively, osteopenia, osteoporosis, and bone fragility are now considered to have a major health impact, with a substantial increase in healthcare costs. This narrative literature review aimed to provide a comprehensive overview of the contemporary literature related to bone changes in PLWHIV, focusing on the importance of taking a multi-scale approach in the assessment of bone hierarchical organization. Even though a low bone mineral density is frequently reported in PLWHIV, numerous ambiguities still remain to be solved. Recent data suggest that assessment of other bone properties (on various levels of the bone structure) could contribute to our understanding of bone fragility determinants in these individuals. Special attention is needed for women living with HIV/AIDS since a postmenopausal status was described as an important factor that contributes to skeletal alterations in this population. Further research on complex etiopathogenetic mechanisms underlying bone alterations in PLWHIV may lead to the development of new therapeutic approaches specifically designed to reduce the health burden associated with skeletal disorders in this population. A major challenge in the clinical management of PLWHIV lies in the adverse skeletal effects of some frequently prescribed cART regimens (e.g., regimens containing tenofovir disoproxil fumarate), which may require a switch to other pharmacological approaches for maintained HIV infection (e.g., regimens containing tenofovir alafenamide). Taken together, the findings are indicative that the HIV/AIDS status should be taken into consideration when designing new guidelines and strategies for individualized prevention, diagnosis, and treatment of increased bone fragility.