In this sub-analysis of a comprehensive meta-analysis, we aimed to determine the effect of different types of exercise on (areal) bone mineral density (BMD) in postmenopausal women. A systematic review of the literature according to the PRISMA statement included (a) controlled trials, (b) with at least one exercise and one control group, (c) intervention ≥ 6 months, (d) BMD assessments at lumbar spine (LS), femoral neck (FN) or total hip (TH), (e) in postmenopausal women. Eight electronic databases were scanned without language restrictions up to March 2019. The present subgroup analysis was conducted as a mixed-effect meta-analysis with “type of exercise” as the moderator. The 84 eligible exercise groups were classified into (a) weight bearing (WB, n = 30) exercise, (b) (dynamic) resistance exercise (DRT, n = 18), (c) mixed WB&DRT interventions (n = 36). Outcome measures were standardized mean differences (SMD) for BMD-changes at LS, FN and TH. All types of exercise significantly affect BMD at LS, FN and TH. SMD for LS average 0.40 (95% CI 0.15–0.65) for DRT, SMD 0.26 (0.03–0.49) for WB and SMD 0.42 (0.23–0.61) for WB&DRT. SMD for FN were 0.27 (0.09–0.45) for DRT, 0.37 (0.12–0.62) for WB and 0.35 (0.19–0.51) for WB&DRT. Lastly, SMD for TH changes were 0.51 (0.28–0.74) for DRT, 0.40 (0.21–0.58) for WB and 0.34 (0.14–0.53) for WB&DRT. In summary, we provided further evidence for the favorable effect of exercise on BMD largely independent of the type of exercise. However, in order to generate dedicated exercise recommendations or exercise guideline, meta-analyses might be a too rough tool.