Physical inactivity has been recognized, by the World Health Organization as the fourth cause of death (5.5 % worldwide). On the contrary, physical activity (PA) has been associated with improved quality of life and decreased risk of several diseases (i.e., stroke, hypertension, myocardial infarction, obesity, malignancies). Bone turnover is profoundly affected from PA both directly (load degree is the key determinant for BMD) and indirectly through the activation of several endocrine axes. Several molecules, secreted by muscle (myokines) and adipose tissues (adipokines) in response to exercise, are involved in the fine regulation of bone metabolism in response to the energy availability. Furthermore, bone regulates energy metabolism by communicating its energetic needs thanks to osteocalcin which acts on pancreatic β-cells and adipocytes. The beneficial effects of exercise on bone metabolism depends on the intermittent exposure to myokines (i.e., irisin, IL-6, LIF, IGF-I) which, instead, act as inflammatory/pro-resorptive mediators when chronically elevated; on the other hand, the reduction in the circulating levels of adipokines (i.e., leptin, visfatin, adiponectin, resistin) sustains these effects as well as improves the whole-body metabolic status. The aim of this review is to highlight the newest findings about the exercise-dependent regulation of these molecules and their role in the fine regulation of bone metabolism.