Physical activity and exercise are important determinants for metabolic and cardiovascular health. They also play an important role for bone health in childhood, adolescence, and adulthood. This review summarizes results from observational and intervention studies which evaluated the association between physical activity/exercise and bone health in different life course stages. In childhood and adolescence, physical activity and exercise induce improved bone accrual. In adulthood, mainly in postmenopausal women, long-term exercise programs reduce age-related bone loss. Especially weight-bearing activities seem to have an important osteogenic effect. Children and adolescent show a higher bone accrual until 5 years after cessation of an exercise program compared to their peers, who do not participate in an exercise program. In contrast, adults who quit exercising have a higher decrease in bone stiffness compared to adults who never exercised. This effect was particularly seen in postmenopausal women. Continuous physical activity and exercise over the life course and the implementation of exercise programs in schools and community-based intervention programs can help prevent or even reduce osteoporosis and osteoporosis-related fractures. Due to the lack of prospective longitudinal studies, the supposed long-term sustainable protective effect of physical activity and exercise in childhood and adolescent on bone health in later adulthood is not well established.