Sclerostin is a Wnt signaling pathway inhibitor that negatively regulates bone formation. Bone-marrow-derived stromal cell (BMSC) differentiation is influenced by the Wnt pathway, leading to the hypothesis that higher levels of sclerostin might be associated with an increase in bone marrow adiposity (BMA). The main purpose of this study was to determine whether a relationship exists between circulating sclerostin and BMA in post-menopausal women with and without fragility fractures. The relationships between circulating sclerostin and body composition parameters were then examined. The outcomes measures included vertebral and hip proton density fat fraction (PDFF) using the water fat imaging (WFI) MRI method; DXA scans; and laboratory measurements, including serum sclerostin. In 199 participants, no significant correlations were found between serum sclerostin and PDFF. In both groups, serum sclerostin was correlated positively with bone mineral density (R = 0.27 to 0.56) and negatively with renal function (R = −0.22 to −0.29). Serum sclerostin correlated negatively with visceral adiposity in both groups (R = −0.24 to −0.32). Serum sclerostin correlated negatively with total body fat (R = −0.47) and appendicular lean mass (R = −0.26) in the fracture group, but not in the controls. No evidence of a relationship between serum sclerostin and BMA was found. However, serum sclerostin was negatively correlated with body composition components, such as visceral adiposity, total body fat and appendicular lean mass.