In 2011 over 1.7 million people were hospitalized because of a fragility fracture, and direct costs associated with osteoporosis treatment exceeded 70 billion dollars in the United States. Failure to reach and maintain optimal peak bone mass during adulthood is a critical factor in determining fragility fracture risk later in life. Physical activity is a widely accessible, low cost, and highly modifiable contributor to bone health. Here, we will review the evidence linking exercise and physical activity to bone health in women. Bone structure and quality will be discussed, especially in the context of clinical diagnosis of osteoporosis. We will review the mechanisms governing bone metabolism in the context of physical activity and exercise. Questions such as, when during life is exercise most effective, and what specific types of exercises improve bone health, will be addressed. Finally, we will discuss some emerging areas of research on this topic, and will summarize areas of need and opportunity.