A major challenge in genetic association studies is that most associated variants fall in the non-coding part of the human genome. We searched for variants associated with bone mineral density (BMD) after enriching the discovery cohort for loss-of-function (LoF) mutations by sequencing a subset of the Nord-Trøndelag Health Study, followed by imputation in the remaining sample (N = 19,705), and identified ten known BMD loci. However, one previously unreported variant, LoF mutation in MEPE, p.(Lys70IlefsTer26, minor allele frequency [MAF] = 0.8%), was associated with decreased ultradistal forearm BMD (P-value = 2.1 × 10-18), and increased osteoporosis (P-value = 4.2 × 10-5) and fracture risk (P-value = 1.6 × 10-5). The MEPE LoF association with BMD and fractures was further evaluated in 279,435 UK (MAF = 0.05%, heel bone estimated BMD P-value = 1.2 × 10-16, any fracture P-value = 0.05) and 375,984 Icelandic samples (MAF = 0.03%, arm BMD P-value = 0.12, forearm fracture P-value = 0.005). Screening for the MEPE LoF mutations before adulthood could potentially prevent osteoporosis and fractures due to the lifelong effect on BMD observed in the study. A key implication for precision medicine is that high-impact functional variants missing from the publicly available cosmopolitan panels could be clinically more relevant than polygenic risk scores.