Excessive alcohol consumption has deleterious effects on many organs including bone tissue. Alcohol abuse decreases bone mineral density, due to osteoblast and osteoclast activity changes. It has been shown that alcohol induces osteocyte apoptosis and marrow fat excess, but their relationship is not well understood. The aim of this in vivo study was to assess the relationship between the increase of adiposity in the marrow and micro-vessels and osteocyte apoptosis in the case of alcohol-induced bone loss. A total of 12 eight-week-old male Wistar rats were treated with 35% v/v ethanol in the drinking water during 17 weeks (A) and compared with 12 controls (C). At the end of the study, we measured bone mineral density by absorptiometry. Osteocyte morphology was assessed with transmission electron microscopy on ultra-thin tibia sections. Osteocyte apoptosis was assessed through caspase-3 and toluidine blue staining. Fat bone marrow and cortical bone micro-vessels content were evaluated on semi-thin sections stained with toluidine blue. Chronic alcohol consumption induced bone loss leading to osteoporosis. After alcohol treatment, the number of apoptotic osteocyte was increased, as shown by the greater caspase-3 staining and the higher empty osteocyte lacunae in A vs. C. Lipid droplets accumulation were observed within the osteocytes, the bone marrow and the cortical bone micro-vessels in A vs. C. An inverse correlation was noted between BMD and osteocyte apoptosis (r = −0.72, P = 0.002) and strong significant correlations were showed between osteocyte apoptotic number and lipidic droplet accumulation in osteocyte (r = 0.95, P < 0.001), bone marrow (r = 0.65, P < 0.02) and bone micro-vessels (r = 0.83, P < 0.005). The bone loss observed following the alcohol treatment was linked to high osteocyte apoptosis and lipid accumulation in bone, which was correlated to increased bone marrow and blood micro-vessels fat content.