The aim of this study was to evaluate the effects of high-impact physical exercise as a prophylactic and therapeutic means in osteopenic bones of rats submitted to ovariectomy and protein diet intake. A total of 64 Wistar rats were divided into eight groups (n = 8 each), being: OVX, ovx, standard diet and sedentary; OVXE, ovx, standard diet and jump; OVXP, ovx, high-protein diet and sedentary; and OVXEP, ovx, high-protein diet and jump; SH, sham, standard diet and sedentary; SHE, sham, standard diet and jump; SHP, sham, high-protein diet and sedentary; and SHEP, sham, high-protein diet and jump. OVX surgery consists of ovariectomy, and sham was the control surgery. The jumping protocol consisted of 20 jumps/day, 5 days/week. The bone structure was evaluated by densitometry, mechanical tests, histomorphometric, and immunohistochemical analyses. A high-protein diet resulted in increased bone mineral density (P = .049), but decreased maximal load (P = .026) and bone volume fraction (P = .023). The benefits of physical exercise were demonstrated by higher values of the maximal load in the trained groups compared to the sedentary groups (P < .001). The sham groups had decreased immunostaining of osteocalcin (P = .004) and osteopontin (P = .010) compared to ovx groups. However, the high-protein diet (P = .005) and jump exercise (P = .017) resulted in lower immunostaining of osteopontin compared to the standard diet and sedentary groups, respectively. In this experimental model, it was concluded that ovariectomy and a high-fat diet can negatively affect bone tissue and the high-impact exercise was not enough to suppress the deleterious effects caused by the protein diet and ovariectomy.