Cross-sectional studies of elite athletes suggest that growth is an opportune time for exercise to increase areal bone mineral density (BMD). However, as the exercise undertaken by athletes is beyond the reach of most individuals, these studies provide little basis for making recommendations regarding the role of exercise in musculoskeletal health in the community. To determine whether moderate exercise increases bone mass, size, areal, and volumetric BMD, two socioeconomically equivalent schools were randomly allocated to be the source of an exercise group or controls. Twenty boys (mean age 10.4 years, range 8.4–11.8) allocated to 8 months of 30-minute sessions of weight-bearing physical education lessons three times weekly were compared with 20 controls matched for age, standing and sitting height, weight, and baseline areal BMD. Areal BMD, measured using dual-energy X-ray absorptiometry, increased in both groups at all sites, except at the head and arms. The increase in areal BMD in the exercise group was twice that in controls; lumbar spine (0.61 ± 0.11 vs. 0.26 ± 0.09%/month), legs (0.76 ± 0.07 vs. 0.34 ± 0.08%/month), and total body (0.32 ± 0.04 vs. 0.17 ± 0.06%/month) (all p < 0.05). In the exercise group, femoral midshaft cortical thickness increased by 0.97 ± 0.32%/month due to a 0.93 ± 0.33%/month decrease in endocortical (medullary) diameter (both p < 0.05). There was no periosteal expansion so that volumetric BMD increased by 1.14 ± 0.33%/month, (p < 0.05). Cortical thickness and volumetric BMD did not change in controls. Femoral midshaft section modulus increased by 2.34 ± 2.35 cm3 in the exercise group, and 3.04 ± 1.14 cm3 in controls (p < 0.05). The growing skeleton is sensitive to exercise. Moderate and readily accessible weight-bearing exercise undertaken before puberty may increase femoral volumetric BMD by increasing cortical thickness. Although endocortical apposition may be a less effective means of increasing bone strength than periosteal apposition, both mechanisms will result in higher cortical thickness that is likely to offset bone fragility conferred by menopause-related and age-related endocortical bone resorption.