The association of obesity with changes in bone mass is not clear. Obese individuals tend to have an increased bone mineral density, but other studies have shown that obesity is a major risk factor for fractures. The mechanisms of bone response during a weight loss therapy as well as the possible osteoprotective effect of exercise should be analyzed. The aim of this study was to test the effects of a weight-loss program based on the combination of caloric restriction and/or a mixed training protocol on different parameters of bone morphology and functionality in a DIO rat model. Three stages were established over a 21-week period (obesity induction 0–12 w, weight loss intervention 12–15 w, weight maintenance intervention 15–21 w) in 88 male Sprague Dawley rats. Bone microarchitecture, total mineral and elemental composition, and bone metabolism parameters were assessed. Weight loss interventions were associated to healthy changes in body composition, decreasing body fat and increasing lean body mass. On the other hand, obesity was related to a higher content of bone resorption and inflammatory markers, which was decreased by the weight control interventions. Caloric restriction led to marked changes in trabecular microarchitecture, with a significant decrease in total volume but no changes in bone volume (BV). In addition, the intervention diet caused an increase in trabeculae number and a decrease in trabecular spacing. The training protocol increased the pore diameter and reversed the changes in cortical porosity and density of BV induced by the high protein diet at diaphysis level. Regarding the weight-maintenance stage, diminished SMI values indicate the presence of more plate-like spongiosa in sedentary and exercise groups. In conclusion, the lifestyle interventions of caloric restriction and mixed training protocol implemented as weight loss strategies have been effective to counteract some of the deleterious effects caused by a dietary induction of obesity, specifically in trabecular bone morphometric parameters as well as bone mineral content.