Background: Bone loss often accompanies weight loss induced by caloric restriction (CR), but whether bone loss accompanies similar weight loss induced by exercise (EX) is unknown. We tested the hypothesis that EX-induced weight loss is associated with less bone loss compared with CR-induced weight loss. Methods: Forty-eight adults (30 women; 18 men; mean±SD age, 57±3 years; and mean±SD body mass index, 27±2 kg/m2) were randomized to 1 of 3 groups for 1 year: CR group (n=19), regular EX group (n=19), or a healthy lifestyle (HL) control group (n=10). Primary outcome measure was change in hip and spine bone mineral density (BMD). Secondary outcomes were bone markers and hormones. Results: Body weight decreased similarly in the CR and EX groups (10.7%±6.3% [-8.2±4.8 kg] vs 8.4%±6.3% [-6.7±5.6 kg]; P=.21), whereas weight did not change in the HL group (-1.2%±2.5% [-0.9±2.0 kg]). Compared with the HL group, the CR group had decreases in BMD at the total hip (-2.2%±3.1% vs 1.2%±2.1%; P=.02) and intertrochanter (-2.1%±3.4% vs 1.7±2.8%; P=.03). The CR group had a decrease in spine BMD (-2.2%±3.3%; P=.009). Despite weight loss, the EX group did not demonstrate a decrease in BMD at any site. Body weight changes correlated with BMD changes in the CR (R=0.61; P=.007) but not in the EX group. Bone turnover increased in both CR and EX groups. Conclusions: CR-induced weight loss, but not EX-induced weight loss, is associated with reductions in BMD at clinically important sites of fracture. These data suggest that EX should be an important component of a weight loss program to offset adverse effects of CR on bone.