Bone characteristics of the humeral shaft and distal radius were measured from 64 female tennis and squash players and their 27 age‐, height‐, and weight‐matched controls with peripheral quantitative tomography (pQCT) and DXA. The players were divided into two groups according to the starting age of their tennis or squash training (either before or after menarche) to examine the possible differences in the loading‐induced changes in bone structure and volumetric density. The used pQCT variables were bone mineral content (BMC), total cross‐sectional area (TotA) of bone, cross‐sectional area of the marrow cavity (CavA) and that of the cortical bone (CoA), cortical wall thickness (CWT), volumetric density of the cortical bone (CoD) and trabecular bone (TrD), and torsional bone strength index (BSIt) for the shaft, and compressional bone strength index (BSIc) for the bone end. These bone strength indices were compared with the DXA‐derived areal bone mineral density (aBMD) to assess how well the latter represents the effect of mechanical loading on apparent bone strength. At the humeral shaft, the loaded arm's greater BMC (an average 19% side‐to‐side difference in young starters and 9% in old starters) was caused by an enlarged cortex (CoA;​ side‐to‐side differences 20% and 9%, respectively). The loaded humerus seemed to have grown periosteally (the CavA did not differ between the sites) leading to 26% and 11% side‐to‐side BSIt difference in the young and old starters, respectively. CoD was equal between the arms (−1% difference in both player groups). The side‐to‐side differences in the young starters' BMC, CoA, TotA, CWT, and BSIt were 8–22% higher than those of the controls and 8–14% higher than those of the old starters. Old starters' BMC, CoA, and BSIt side‐to‐side differences were 6–7% greater than those in the controls. The DXA‐derived side‐to‐side aBMD difference was 7% greater in young starters compared with that of the old starters and 14% compared with that in controls, whereas the difference between old starters and controls was 6%, in favor of the former. All these between‐group differences were statistically significant. At the distal radius, the player groups differed significantly from controls in the side‐to‐side BMC, TrD, and aBMD differences only;​ the young starters' BMC difference was 9% greater, TrD and aBMD differences were 5% greater than those in the controls, and the old starters' TrD and aBMD differences were both 7% greater than those in the controls. In summary, in both of the female player groups the structural adaptation of the humeral shaft to long‐term loading seemed to be achievedthrough periosteal enlargement of the bone cortex although this adaptation was clearly better in the young starters. Exercise‐induced cortical enlargement was not so clear at the distal radius (a trabecular bone site), and the study suggested that at long bone ends also the TrD could be a modifiable factor to build a stronger bone structure. The conventional DXA‐based aBMD measurement detected the intergroup differences in the exercise‐induced bone gains, although, measuring two dimensions of bone only, it seemed to underestimate the effect of exercise on the apparent bone strength, especially if the playing had been started during the growing years.