The separate and combined effects of weight‐bearing exercise and hormone replacement therapy (HRT) on bone mineral density (BMD) were studied in 32 women, 60 to 72 years of age. HRT consisted of continuous conjugated estrogens 0.625 mg/day and trimonthly medroxyprogesterone acetate 5 mg/day for 13 days. Exercise consisted of 2 months of low‐intensity exercise followed by 9 months of more vigorous weight‐bearing exercise ˜45 minutes/day, ≥3 days/week, at 65–85% of maximal heart rate. Lumbar spine and proximal femur BMD were significantly increased in response to exercise and to HRT, and total body BMD was significantly increased in response to HRT; neither exercise nor HRT had an effect on wrist BMD. The combination of exercise + HRT resulted in increased BMD at all sites except the wrist, with effects being additive for the lumbar spine and Ward's triangle and synergistic for the total body. Based on reductions in serum osteocalcin levels, it appears that increases in BMD in response to HRT and exercise + HRT were due to decreased bone turnover. The lack of change in serum osteocalcin and IGF‐I in response to exercise alone suggests that increases in BMD were due to decreased bone resorption and not increased formation. Results indicate that weight‐bearing exercise + HRT may be effective in preventing and/or treating osteoporosis. It is likely that the additive effects of weight‐bearing exercise and HRT on bone mineral accretion, coupled with other adaptations to the exercise (i.e., increased strength and functional capacity), could effectively reduce the incidence of falls and osteoporotic fractures.