Physical loading creating high peak strains on the skeleton at high strain rates is suggested to be the most effective type of activity in terms of bone mineral acquisition. This study assessed the effects of sudden impact loading on mineral and mechanical bone properties in 13-week-old Sprague-Dawley rats. The rats were randomly assigned as sedentary controls (SED, n = 10), control animals receiving low-intensity exercise (EX, n = 15), and experimental animals receiving low-intensity exercise combined with sudden impact-loading (EX + IMP, n = 15). In the EX group, the rats walked in a walking mill at a speed of 10 cm/s for 20 minutes/day, 5 days/week for 9 weeks. In the EX + IMP group, the program was identical to the EX group except for the additional sudden impacts administered to their skeleton during the walking exercise. At the start, there were 50 impacts per session, after which their number was gradually increased to 200 impacts per session by week 6 and then kept constant until the end of the experiment, week 9. These horizontally and vertically directed body impacts were produced by a custom-made walking mill equipped with computer-controlled high-pressure air cylinders. After sacrifice, both femora of each rat were removed and their dimensions, bone mineral content (BMC) by dual-energy X-ray absorptiometry, and mechanical properties by femoral shaft three-point bending and femoral neck compression were determined. The cortical wall thickness increased significantly in the EX and EX + IMP groups as compared with SEDs (+7.6%, p = 0.049 and +10%, p = 0.020, respectively). The EX + IMP group showed +9.0% (p = 0.046) higher cross-sectional moment of inertia values than the EX group. No significant intergroup differences were seen in the BMC values, while the breaking load of the femoral shaft (EX + IMP vs. SED +8.8%,p = 0.047) and femoral neck (EX + IMP vs. SED +14.1%, p = 0.013) was significantly enhanced by the impact loading. In conclusion, this study indicates that mechanical loading can substantially improve the mechanical characteristics of a rat femur without simultaneous gain in its mineral mass. If this is true in humans too, our finding gives an interesting perspective to the numerous longitudinal exercise studies (of women) in which the exercise-induced gains in bone mass and density have remained mild to moderate only.