The idea that premature graying and/or baldness could be a marker for determining who’s at risk of osteoporosis, or loss of bone mass, was first suggested in the 1990s. One small study in 1994 (of 63 men and women), and another in 1997 (of 293 post-menopausal women) found that premature gray hair – defined as going almost completely gray by the age of 40 – was associated with low bone mineral density (BMD) in both women and men.
Low bone mineral density is serious because it can be a sign of osteoporosis, or its precursor, osteopenia, and thinning bones can lead to fractures. Hip fractures constitute the most common bone break requiring hospitalization in the United States.
In 2001, a study of 44 women with Graves' disease, an autoimmune condition leading to an overactive thyroid, found premature graying in those women, was associated with lower bone mass. No such link was found among the 133 "normal" controls, that is, female subjects in the study without Graves.
Nor did a considerably larger study in 2007 show any link between prematurely gray hair, or balding hair, and low BMD. For that research, bone density was measured in 1,207 men and women, in the spine, hip, and also as a total body measurement.
A number of conditions, including endocrine disorders and nutritional deficiencies, can lead to premature graying, but so far, there's no definitive link between going gray early, and loss of bone mass.
Deborah J. Morton et al. “Premature Graying, Balding, and Low Bone Mineral Density in Older Women and Men: The Rancho Bernardo Study.” J Aging Health. 2007 April; 19(2): 275–285.
Graves Disease. ADAM Medical Encyclopedia.
Orr-Walker BJ, Evans MC, Ames RW, Clearwater JM, Reid IR. “Premature hair graying and bone mineral density.” J Clin Endocrinol Metab. 1997 Nov;82(11):3580-3.