Regular exercise and physical activity (PA) are known to be protective factors for maintaining bone mineral density (BMD) and preventing osteoporotic fracture. We investigated the associations between leisure-time PA and BMD in 2,903 premenopausal and 2,267 postmenopausal women in Korea. BMDs of the lumbar spine and femur were measured using dual-energy X-ray absorptiometry. Leisure-time PA levels were assessed by a self-administrated questionnaire, and a total metabolic equivalent (MET) score was obtained. Regardless of menopausal status, performing more than moderate levels of leisure-time PA or total MET score had a significant positive association with BMD at both the lumbar spine and femur. In the premenopausal group, women whose total MET score was 1,050-1,500 (MET-min/week) appeared to have the highest lumbar spine and femoral BMD (p < 0.001). The associations between PA level and lumbar spine and femoral BMD were also shown in the postmenopausal group (p < 0.001). In addition, we found dose-response relationships between increasing exercise level and femoral BMD in both the premenopausal and postmenopausal groups. Our results indicate that a more than moderate level of leisure-time PA plays a role in maintaining BMD.