Premature infants have an increased risk of osteopenia due to limited bone mass accretion in utero and a greater need for bone nutrients. Currently, the diagnosis of osteopenia is based on clinical and radiological signs and measurements of biochemical markers. Recent studies suggest that measurements of circulating bone turnover markers, and bone strength assessment using quantitative ultrasound measurements of bone speed of sound (SOS) may help in the evaluation of bone metabolism in preterm infants. So far, most of the preventive efforts of osteopenia of prematurity focused on nutritional changes. Recent studies indicate that the passive range of motion exercise of the extremities results in a significantly greater increase of body weight, increased bone mineralization, increased bone formation markers and leptin levels, and attenuation of the natural post-natal decline in bone SOS. These results suggest that exercise may play an important role in the prevention and treatment of osteopenia of prematurity.