Bone mineral density (BMD) is a highly heritable trait used both for the diagnosis of osteoporosis in adults and to assess bone health in children. Ethnic differences in BMD have been documented, with markedly higher levels in individuals of African descent, which partially explain disparity in osteoporosis risk across populations. To date, 63 independent genetic variants have been associated with BMD in adults of Northern-European ancestry. Here, we demonstrate that at least 61 of these variants are predictive of BMD early in life by studying their compound effect within two multiethnic pediatric cohorts. Furthermore, we show that within these cohorts and across populations worldwide the frequency of those alleles associated with increased BMD is systematically elevated in individuals of Sub-Saharan African ancestry. The amount of differentiation in the BMD genetic scores among Sub-Saharan and non-Sub-Saharan populations together with neutrality tests, suggest that these allelic differences are compatible with the hypothesis of selective pressures acting on the genetic determinants of BMD. These findings constitute an explorative contribution to the role of selection on ethnic BMD differences and likely a new example of polygenic adaptation acting on a human trait.