Transdermal drug delivery is a formulation in which the drug is absorbed through the skin for systemic action. Its advantages include avoidance of first-pass effects, sustained drug supply, and ease of administration and discontinuation. Drugs administered transdermally transfer into the blood circulation through the stratum corneum, epidermis, and dermis. The stratum corneum on the skin surface plays a barrier function in skin absorption. Therefore, developing of transdermal drug delivery systems requires innovations that overcome the barrier function of the stratum corneum and improve skin permeation. This review examines the usefulness of transdermal formulations based on solid nanoparticles using raloxifene. Milled raloxifene was gelled with (mRal-NPs) or without menthol (Ral-NPs) using Carbopol. The drug release and transdermal penetration were measured using a Franz diffusion cell, and the therapeutic evaluation of osteoporosis was determined in an ovariectomized rat model. Although the raloxifene released from Ral-NPs remained in the nanoparticle state, the skin penetration of raloxifene nanoparticles was prevented by the stratum corneum in rat. The inclusion of menthol in the formulation attenuated the barrier function of the stratum corneum and permitted raloxifene nanoparticles to penetrate through the skin. Moreover, macropinocytosis relates to the formulation’s skin penetration, including menthol (mRal-NPs). Applying mRal-NPs attenuated the decreases in calcium level and stiffness of bones of ovariectomized rats. This information can support future studies aimed at designing novel transdermal formulations.