Both physical activity and body mass affect bone properties. In this study we examined how diet-induced obesity combined with voluntary physical activity affects bone properties. Forty 7-week-old male C57BL/6J mice were assigned to four groups evenly: control diet (C), control diet + running (CR), high-fat diet (HF, 60% energy from fat), and high-fat diet + running (HFR). After 21-week intervention, all mice were killed and the left femur was dissected for pQCT and mechanical measurements. Body mass increased 80% in HF and 62% in HFR, with increased epididymal fat pad weight and impaired insulin sensitivity. Except for total and trabecular volumetric bone mineral density (BMD), bone traits correlated positively with body mass, fat pad, leptin, and osteoprotegerin. Obesity induced by a high-fat diet resulted in increased femoral bone cross-sectional area, mineral content (BMC), polar moment of inertia, and mechanical parameters. Of the mice accessing the running wheel, those fed the control diet had thinner cortex and less total metaphyseal BMC and BMD, with enlarged metaphyseal marrow cavity, whereas mice fed the high-fat diet had significantly higher trabecular BMD and smaller marrow cavity. However, the runners had a weaker femoral neck as indicated by decreased maximum flexure load. These results suggest that voluntary running exercise affects bone properties in a site-specific manner and that there is a complex interaction between physical activity and obesity. Thus, both diet and exercise should be considered when optimizing the effects on body composition and bone, even though the underlying mechanisms remain partly unknown.