Assessing bone loss and gain is important in clinical decision-making, both in evaluating treatment and in following untreated patients. The aim of this study was to correlate changes in bone mineral density (BMD) at different skeletal sites during the first 5 years after menopause and determine if forearm measurements can substitute for dual-energy X-ray absorptiometry (DXA) of the spine and hip. BMD was measured at 0, 1, 2, 3, and 5 years using Hologic 1000/W and 2000 densitometers in 2016 perimenopausal women participating in a national cohort study. This analysis comprises 1422 women remaining in the study after 5 years without changes to their initial treatment (hormone-replacement therapy [HRT], n = 497, or none, n = 925). Despite correlated rates of change between forearm and spine (r2 = 0.11; p < 0.01), one-half of those who experienced a significant decrease in spine BMD at 5 years showed no significant fall in forearm BMD (sensitivity, 50%; specificity, 85%; κ = 0.25). The total hip had significant better agreement with spine (sensitivity, 63%; specificity, 85%; κ = 0.37; p < 0.01). Analysis of quartiles of change also showed significant better agreement with spine and whole body for the total hip than for the femoral neck or ultradistal (UD) forearm. In a logistic regression analysis for identification of group (HRT or control), the prediction was best for whole body (82.6%) and spine (80.9%), followed by total hip (78.5%) and forearm (74.7%). In conclusion, changes at the commonly measured sites are discordant, and DXA of the forearm is less useful than DXA of the hip or spine in determining the overall skeletal response to therapy or assessing bone loss in untreated women.