Weight loss improves metabolic fitness and reduces morbidity and mortality; however, weight reduction also reduces bone mineral density (BMD) and increases bone turnover. Weight-bearing aerobic exercise may preserve bone mass and maintain normal bone turnover during weight reduction. We investigated the impact of weight-bearing and nonweight-bearing exercise on serum markers of bone formation and breakdown during short-term, modest weight loss in overweight premenopausal women. Subjects (n = 36) were assigned to 1 of 3 weight-loss interventions designed to produce a 5% reduction in body weight over 6 weeks: (i) energy restriction only (n = 11; DIET); (ii) energy restriction plus nonweight-bearing exercise (n = 12, CYCLE); or (iii) energy restriction plus weight-bearing exercise (n = 13, RUN). Bone turnover markers were measured in serum collected at baseline and after weight loss. All groups achieved a ~5% reduction in body weight (DIET = 5.2%; CYCLE = 5.0%; RUN = 4.7%). Osteocalcin (OC) and C-terminal telopeptide of type I collagen (CTX) increased with weight loss in all 3 groups (p < 0.05), whereas bone alkaline phosphatase was unaltered by the weight-loss interventions. At baseline, OC and CTX were positively correlated (r = 0.36, p = 0.03), but the strength of this association was diminished (r = 0.30, p = 0.06) after weight loss. Modest weight loss, regardless of method, resulted in a significant increase in both OC and CTX. Low-impact, weight-bearing exercise had no effect on serum markers of bone formation or resorption in premenopausal women during weight loss. Future studies that examine the effects of high-impact, weight-bearing activity on bone turnover and BMD during weight loss are warranted.