Abstract: Physical exercise is commonly promoted as a panacea. However many of the claimed benefits, in particular any positive effects on bone density, have not been scientifically proved. We assessed the effects of a twice‐weekly aerobic weight‐bearing exercise program on bone density in postmenopausal women. We tested bone density at the spine and hip in 19 exercisers with a mean age of 66.4 years (SEM ±1.2) before and after a two‐year exercise program, and in 11 controls, mean age 65.4 years (SEM ± 1.5). We also assessed risk factors for cardiovascular disease and tested wellbeing and cognitive function. The mean percentage change in lumbar bone mineral density was −0.8 in exercisers and −3.8 in controls (difference 3.0 per cent; 95 per cent confidence interval (CI) 0.3 to 5.7 per cent; P = 0.031). The mean percentage change in trochanteric bone mineral concentration was + 9.6 in exercisers and −4.4 in controls (difference 14.0 per cent; CI 4.6 to 23.5; P = 0.0049). The exercisers also had significantly higher wellbeing and diastolic blood pressure. This study adds strong evidence that twice‐weekly weight‐bearing aerobic exercise has a protective effect on bone density in postmenopausal women as well as being associated with other measurable benefits.