To address the hypothesis that osteogenic effect of physical loading increases with increasing strain rates and peak forces, we examined 59 competitive Finnish female athletes (representing three sports with different skeletal loading characteristics), physically active referents (they reported an average of five various types of exercise sessions per week), and sedentary referents (two sessions per week) using dual energy X-ray absorptiometry. The measured anatomic sites were at the lumbar spine, femoral neck, distal femur, patella, proximal tibia, calcaneus, and distal radius. The athlete group consisted of aerobic dancers (N = 27), squash players (N = 18), and speed skaters (N = 14). The squash players had the highest values for weight-adjusted bone mineral density (BMD) at the lumbar spine (13.8% p < 0.001 as compared with the sedentary reference group), femoral neck (16.8%, p < 0.001), proximal tibia (12.6%, p < 0.001) and calcaneus (18.5%, p < 0.001). Aerobic dancers and speed skaters also had significantly higher BMD values at the loaded sites than the sedentary reference group, the difference ranging from 5.3% to 13.5%. The physically active referents' BMD values did not differ from those of the sedentary referents at any site. The results support the concept that training, including high strain rates in versatile movements and high peak forces, is more effective in bone formation than training with a large number of low-force repetitions.