Functional interpretations of limb bone structure frequently assume that diaphyses adjust their shape by adding bone primarily across the plane in which they are habitually loaded in order to minimize loading-induced strains. Here, to test this hypothesis, we characterize the in vivo strain environment of the sheep tibial midshaft during treadmill exercise and examine whether this activity promotes bone formation disproportionately in the direction of loading in diaphyseal regions that experience the highest strains. It is shown that during treadmill exercise, sheep tibiae were bent in an anteroposterior direction, generating maximal tensile and compressive strains on the anterior and posterior shaft surfaces, respectively. Exercise led to significantly increased periosteal bone formation; however, rather than being biased toward areas of maximal strains across the anteroposterior axis, exercise-related osteogenesis occurred primarily around the medial half of the shaft circumference, in both high and low strain regions. Overall, the results of this study demonstrate that loading-induced bone growth is not closely linked to local strain magnitude in every instance. Therefore, caution is necessary when bone shaft shape is used to infer functional loading history in the absence of in vivo data on how bones are loaded and how they actually respond to loading.