The hierarchical structure of bone, involving micro-scale organization and interaction of material components, is a critical determinant of macro-scale mechanics. Changes in whole-bone morphology in response to the actions of individual genes, physiological loading during life, or evolutionary processes, may be accompanied by alterations in underlying mineralization or architecture. Here, we used nanoindentation to precisely measure compressive stiffness in the femoral mid-diaphysis of mice that had experienced 37 generations of selective breeding for high levels of voluntary wheel running (HR). Mice (n = 48 total), half from HR lines and half from non-selected control (C) lines, were divided into two experimental groups, one with 13–14 weeks of access to a running wheel and one housed without wheels (n = 12 in each group). At the end of the experiment, gross and micro-computed tomography (μCT)-based morphometric traits were measured, and reduced elastic modulus (Er) was estimated separately for four anatomical quadrants of the femoral cortex: anterior, posterior, lateral, and medial. Two-way, mixed-model analysis of covariance (ancova) showed that body mass was a highly significant predictor of all morphometric traits and that structural change is more apparent at the μCT level than in conventional morphometrics of whole bones. Both linetype (HR vs. C) and presence of the mini-muscle phenotype (caused by a Mendelian recessive allele and characterized by a ∼50% reduction in mass of the gastrocnemius muscle complex) were significant predictors of femoral cortical cross-sectional anatomy. Measurement of reduced modulus obtained by nanoindentation was repeatable within a single quadrant and sensitive enough to detect inter-individual differences. Although we found no significant effects of linetype (HR vs. C) or physical activity (wheel vs. no wheel) on mean stiffness, anterior and posterior quadrants were significantly stiffer (P < 0.0001) than medial and lateral quadrants (32.67 and 33.09 GPa vs. 29.78 and 30.46 GPa, respectively). Our findings of no significant difference in compressive stiffness in the anterior and posterior quadrants agree with previous results for mice, but differ from those for large mammals. Integrating these results with others from ongoing research on these mice, we hypothesize that the skeletons of female HR mice may be less sensitive to the effects of chronic exercise, due to decreased circulating leptin levels and potentially altered endocannabinoid signaling.