The suboptimal performance of bone mineral density as the sole predictor of fracture risk and treatment decision making has led to the development of risk prediction algorithms that estimate fracture probability using multiple risk factors for fracture, such as demographic and physical characteristics, personal and family history, other health conditions, and medication use. We review theoretical aspects for developing and validating risk assessment tools, and illustrate how these principles apply to the best studied fracture probability tools: the World Health Organization FRAX®, the Garvan Fracture Risk Calculator, and the QResearch Database's QFractureScores. Model development should follow a systematic and rigorous methodology around variable selection, model fit evaluation, performance evaluation, and internal and external validation. Consideration must always be given to how risk prediction tools are integrated into clinical practice guidelines to support better clinical decision making and improved patient outcomes. Accurate fracture risk assessment can guide clinicians and individuals in understanding the risk of having an osteoporosis-related fracture and inform their decision making to mitigate these risks.