Muscle and bone have been considered a functional unit that grows together early in life, deteriorates with aging, and can cause osteosarcopenia. Due to its importance in public health, detecting risk factors in early life is desirable. This study examined whether birth weight (BW) was associated with muscle–bone unit using dual energy X-ray absorptiometry (DXA) parameters in young women from the Nutritionists’ Health Study (NutriHS), a cohort study of undergraduates and Nutrition graduates. This cross-sectional analysis included 170 young healthy women who answered early life events-questionnaire, and had anthropometric, muscle tests and DXA-determined body composition and bone densitometry (iDXA-Lunar®). A blood sample was obtained for a subsample of 148 participants. Appendicular skeletal muscle mass index (ASMI) was calculated. BW was categorized in quartiles (BWq) and variables of interest compared by ANOVA. Associations of BWq with calf circumference (CC), handgrip, muscle performance tests, ASMI, bone mineral density and content (BMD and BMC), and plasma glucose, lipids, insulin, and 25-hydroxyvitamin D were performed using multiple linear regression and directed acyclic graph-recommended adjustments. Mean values of age, body mass index, and BW were 23.0 years (20.0–28.0), 22.9 ± 2.9 kg/m2, and 3199 ± 424 g, respectively. Comparing variables across BWq, significant differences in CC, handgrip, ASMI, and total body BMC were detected. Regression models adjusted for confounders showed associations of BWq with CC (β = 0.72, p = 0.005), handgrip (β = 1.53, p = 0.001), ASMI (β = 0.16, p = 0.022), total body BMC (β = 64.8, p = 0.005), total femur BMC (β = 0.70, p = 0.041), total body BMD (β = 0.02, p = 0.043), and lumbar spine BMD (β = 0.03, p = 0.028). We conclude that BW is associated with muscle–bone unit using DXA-parameters in Brazilian young healthy women from the NutriHS, suggesting a role for intrauterine environment for musculoskeletal health.