Exercise is recommended as first‐line treatment to reduce pain and improve physical function in patients with hip osteoarthritis, but the mechanism behind the effect remains unknown. Blood and urine were collected at baseline and after 4 months of exercise from 60+‐year‐old persons (n = 39) with hip osteoarthritis included in a randomized controlled trial comparing the effects of strength training (ST), Nordic Walking (NW), and unsupervised home‐based exercise (control). We measured biomarkers of bone (N‐terminal propeptide of type I collagen, C‐telopeptide of type I collagen, sclerostin, receptor activator of nuclear factor kappa‐B ligand, and osteoprotegerin) and cartilage (C‐telopeptide of type II collagen (CTX‐II), cartilage oligomeric matrix protein, and N‐terminal propeptide of type III collagen). Sclerostin levels decreased independent of the type of training. There was significant interaction between type of training and change in CTX‐II level. When combining the supervised groups (NW and ST), both CTX‐II and sclerostin level were decreased in the supervised training group, while CTX‐II and sclerostin were unchanged in the control group. In conclusion, CTX‐II and sclerostin level were reduced by 4 months of supervised training, suggesting that certain types of exercise affect cartilage and bone, potentially contributing to beneficial effects of exercise in patients.