Numerous studies have reported benefits of regular physical activity on bone mineral density (BMD). The effects of physical activity on BMD are primarily linked to the mechanisms of mechanical loading, but the understanding of the precise mechanism behind the association is incomplete. The aim of this paper was to review the main findings concerning sources and types of mechanical stimuli in relation to BMD. Mechanical forces that act on bone are generated from impact with the ground (ground-reaction forces) and from skeletal muscle contractions (muscle forces or muscle-joint forces), but the relative importance of these two sources has not been elucidated. Both muscle-joint forces and gravitational forces seem to be able to induce bone adaptation independently, and there may be differences in the importance of loading sources at different skeletal sites. The nature of the stimuli is affected by the type, intensity, frequency, and duration of the activity. The activity should be dynamic, not static, and the magnitude and rate of the stimuli should be high. In accordance with this, cross-sectional studies report highest BMD in athletes of high-impact activities such as dancing, soccer, volleyball, basketball, squash, speed skating, gymnastics, hockey, and step-aerobics. Endurance activities such as orienteering, skiing, and triathlon seem to be beneficial to a lesser degree, whereas low-impact activities such as swimming and cycling are associated with lower BMD than controls. Both the intensity and frequency of the activity should be varied and increased beyond the habitual level. Duration of the activity seems to be less important, and a few loading cycles seem to be sufficient.