Tocotrienol has been shown to prevent bone loss in animal models of postmenopausal osteoporosis, but the low oral bioavailability might limit its use. A self-emulsifying drug delivery system (SEDDS) could increase the bioavailability of tocotrienol. However, evidence of this system in improving the skeletal effects of tocotrienol is scanty. This study aims to evaluate the therapeutic efficacy of annatto tocotrienol with SEDDS in a rat model of postmenopausal bone loss. Ten-month-old female Sprague Dawley rats were randomized into six groups. The baseline group was euthanatized at the onset of the study. Four other groups underwent ovariectomy to induce estrogen deficiency. The sham underwent similar surgery procedure, but their ovaries were retained. Eight weeks after surgery, the ovariectomized rats received one of the four different regimens orally daily: (a) SEDDS, (b) annatto tocotrienol [60 mg/kg body weight (b.w.)] without SEDDS, (c) annatto-tocotrienol (60 mg/kg b.w.) with SEDDS, (d) raloxifene (1 mg/kg b.w.). After eight weeks of treatment, blood was collected for the measurement of delta-tocotrienol level and oxidative stress markers. The rats were euthanized and their bones were harvested for the evaluation of the bone microstructure, calcium content and strength. Circulating delta-tocotrienol level was significantly higher in rats receiving annatto tocotrienol with SEDDS compared to the group receiving unformulated annatto-tocotrienol (p < 0.05). Treatment with unformulated or SEDDS-formulated annatto tocotrienol improved cortical bone thickness, preserved bone calcium content, increased bone biomechanical strength and increased antioxidant enzyme activities compared with the ovariectomized group (p < 0.05). Only SEDDS-formulated annatto tocotrienol improved trabecular microstructure, bone stiffness and lowered malondialdehyde level (p < 0.05 vs the ovariectomized group). The improvement caused by annatto tocotrienol was comparable to raloxifene. In conclusion, SEDDS improves the bioavailability and skeletal therapeutic effects of annatto tocotrienol in a rat model of postmenopausal bone loss. This formulation should be tested in a human clinical trial to validate its efficacy.