Marrow adipose tissue (MAT) and its relevance to skeletal health during caloric restriction (CR) is unknown:​ It remains unclear whether exercise, which is anabolic to bone in a calorie‐replete state, alters bone or MAT in CR. We hypothesized that response of bone and MAT to exercise in CR differs from the calorie‐replete state. Ten‐week‐old female B6 mice fed a regular diet (RD) or 30% CR diet were allocated to sedentary (RD, CR, n = 10/group) or running exercise (RD‐E, CR‐E, n = 7/group). After 6 weeks, CR mice weighed 20% less than RD, p < 0.001;​ exercise did not affect weight. Femoral bone volume (BV) via 3D MRI was 20% lower in CR versus RD (p < 0.0001). CR was associated with decreased bone by μCT:​ Tb.Th was 16% less in CR versus RD, p < 0.003, Ct.Th was 5% less, p < 0.07. In CR‐E, Tb.Th was 40% less than RD‐E, p < 0.0001. Exercise increased Tb.Th in RD (+23% RD‐E versus RD, p < 0.003) but failed to do so in CR. Cortical porosity increased after exercise in CR (+28%, p = 0.04), suggesting exercise during CR is deleterious to bone. In terms of bone fat, metaphyseal MAT/ BV rose 159% in CR versus RD, p = 0.003 via 3D MRI. Exercise decreased MAT/BV by 52% in RD, p < 0.05, and also suppressed MAT in CR (−121%, p = 0.047). Histomorphometric analysis of adipocyte area correlated with MAT by MRI (R² = 0.6233, p < 0.0001). With respect to bone, TRAP and Sost mRNA were reduced in CR. Intriguingly, the repressed Sost in CR rose with exercise and may underlie the failure of CR‐bone quantity to increase in response to exercise. Notably, CD36 , a marker of fatty acid uptake, rose 4088% in CR (p < 0.01 versus RD), suggesting that basal increases in MAT during calorie restriction serve to supply local energy needs and are depleted during exercise with a negative impact on bone.