Cathepsins are proteases comprising two small groups of serine and aspartic cathepsins and a large group of lysosomal cysteine cathepsins. Most of them are ubiquitously expressed throughout human tissues but some of them display a more restricted expression pattern and are involved in explicit tasks such as collagen degradation in the process of bone and cartilage destruction or degradation of invariant chain peptides in the process of antigen processing and presentation. In addition to the aforementioned functions, cathepsins have been shown to play a critical role in the pathogenesis of osteoimmunological diseases involving mutual interactions between skeletal and immunological functions. The most convincing evidence that cathepsins participate in the pathogenesis of osteoimmunological disorders exists for cathepsins K and S. Therefore, this review focuses on recent advances in understanding the role of cathepsins K and S in osteoimmunology and highlights the progress that has been made in targeting cathepsins to treat diseases related to the skeletal or immune system.