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.