Physical activity or appropriate exercise prevents the development of osteoporosis. However, the exact mechanism remains unclear although it is well accepted that exercise or mechanical loading regulates the hormones, cytokines, signaling pathways, and noncoding RNAs in bone. Accumulating evidence has shown that bone is a highly vascularized tissue, and dysregulation of vasculature is associated with many bone diseases such as osteoporosis or osteoarthritis. In addition, exercise or mechanical loading regulates bone vascularization in bone microenvironment via the modulation of angiogenic mediators, which play a crucial role in maintaining skeletal health. This review discusses the effects of exercise and its underlying mechanisms for osteoporosis prevention, as well as an angiogenic and osteogenic coupling in response to exercise.