Rosiglitazone is an effective insulin-sensitizer, however associated with bone loss mainly due to increased bone resorption and bone marrow adiposity. We investigated the effect of the co-administration of fish oil rich in omega-3 fatty acids (FAs) on rosiglitazone-induced bone loss in C57BL/6 mice and the mechanisms underlying potential preventive effect. Mice fed the iso-caloric diet supplemented with fish oil exhibited significantly higher levels of bone density in different regions compared to the other groups. In the same cohort of mice, reduced activity of COX-2, enhanced activity of alkaline phosphatase, lower levels of cathepsin k, PPAR-γ, and pro-inflammatory cytokines, and a higher level of anti-inflammatory cytokines were observed. Moreover, fish oil restored rosiglitazone-induced down-regulation of osteoblast differentiation and up-regulation of adipocyte differentiation in C3H10T1/2 cells and inhibited the up-regulation of osteoclast differentiation of RANKL-treated RAW264.7 cells. We finally tested our hypothesis on human Mesenchymal Stromal Cells differentiated to osteocytes and adipocytes confirming the beneficial effect of docosahexaenoic acid (DHA) omega-3 FA during treatment with rosiglitazone, through the down-regulation of adipogenic genes, such as adipsin and FABP4 along the PPARγ/FABP4 axis, and reducing the capability of osteocytes to switch toward adipogenesis. Fish oil may prevent rosiglitazone-induced bone loss by inhibiting inflammation, osteoclastogenesis, and adipogenesis and by enhancing osteogenesis in the bone microenvironment.