Considerable progress has been made in the management of cancer patients in the last decade with the arrival of anti-cancer immunotherapies (immune checkpoint inhibitors) and targeted therapies. As a result, a broad spectrum of cancers, not just hormone-sensitive ones, have seen several patients achieve profound and prolonged remissions, or even cures. The management of medium- and long-term side-effects of treatment and quality of life of patients are essential considerations. This is especially true for bone, as bone fragility can lead to increased fractures and loss of autonomy, ultimately reducing the possibility of resuming physical activity. Physical activity is essential for lasting oncological remission and prevention of fatigue. While the issue of hormone therapies and their association with breast cancer has been recognized for some time, the situation is relatively new with regards to targeted therapies and immunotherapies. This is particularly challenging given the wide range of available targeted therapies and their application to numerous cancer types. This article provides a comprehensive review of the bone effects of the main anti-cancer therapies currently in use. The review goes beyond glucocorticoids and hormone therapies and discusses for each drug category what is known regarding cellular effects, BMD effects, and fracture incidence.