Strenuous physical activity in young individuals has an important effect on both bone mass and bone turnover but the effect of moderate physical activity in adults remains uncertain. In a large cohort (N = 530) of healthy premenopausal women, bone formation markers (osteocalcin and N-terminal propeptide of type 1 procollagen [P1NP]), but not serum C-telopeptide of type 1 collagen (sCTX), were found to be significantly associated with the level of physical activity, and this association remained significant after adjusting the data (ANCOVA) by age and body mass index. Mean spine and hip bone mineral density (BMD) values were positively associated with physical activity but this was statistically significant (P = 0.050) only for adjusted values of spine BMD. Twenty-four healthy sedentary premenopausal women, subscribing to participate in a community exercise program lasting a month, and 18 age-matched controls were included in the longitudinal study. Serum osteocalcin and P1NP, but not sCTX, rose significantly, by ca. 25%, only in the active group after a month of exercise. The changes in the two bone formation markers remained statistically significant for values adjusted for body weight, which fell significantly in the exercise group. In conclusion, both the cross-sectional and the longitudinal parts of our study demonstrate that even minor changes in physical activity are associated with a clear effect on bone formation markers.