We developed previously a mouse voluntary climbing exercise model as a physiological mechanical loading model and reported that climbing exercise increased bone formation, but its effect on adipogenesis is unknown. We assessed the effects of loading and PTH/PTHrP receptor (PTHR1) on bone marrow adipocyte differentiation in relation with osteoblast differentiation. 8-week-old C57BL/6J male mice were divided into ground control (GC) and climbing exercise (EX) group. Mice were housed in 100-cm towers and climbed up toward a bottle placed at the top of the cage to drink water. The values of bone volume and osteoblast number were significantly higher while those of marrow adipocyte volume and number were significantly lower in the 28dayEX group than 28dayGC group. The mRNA expression levels of adipocyte differentiation genes CCAAT/enhancer-binding proteins (C/EBP) beta and delta were lower in 4dayEX mice, while the adipocyte specific genes fatty acid binding protein (aP2) and phosphoenolpyruvate carboxykinase (PEPCK) expressions were lower in 7dayEX mice. In primary bone marrow cell cultures, the number of alkaline phosphatase-positive colony forming units-fibroblastic (ALP+ CFU-f) and Oil-red-O-positive cells were both increased in the 4dayEX group. Climbing exercise transiently increases both osteogenic and adipogenic potential in bone marrow stromal cells, and inhibits terminal adipocyte differentiation and promotes osteoblast differentiation. Immunoreactivity for the PTHR1 was intense on osteoblastic cell lineage in the endosteal tibial metaphysis. PTHR1 mRNA expression was increased in 4dayEX mice and PTHR1-positive cells were increased after 7 days in the experimental group. Ex vivo addition of PTHR1 antibody decreased and that of PTHrP(1-34) increased the number of ALP+ CFU-f in bone marrow cell cultures obtained at 4 days after the exercise, while the addition of PTHR1 antibody increased and PTHrP(1-34) decreased the number of Oil-red-O-positive cells. Our results indicate that climbing exercise enhanced osteoblast differentiation and inhibited terminal differentiation of adipocyte progenitors with high expression of PTHR1 in bone marrow cells.