Mechanical stresses associated with physical activity (PA) have beneficial effects on increasing BMD and improving bone quality. However, a high‐fat diet (HFD) and obesity tend to have negative effects on bone, by increasing bone marrow adiposity leading to increased excretion of proinflammatory cytokines, which activate RANKL‐induced bone resorption. In the current study, whether short‐term increased PA via access to voluntary wheel running during early life has persistent and protective effects on HFD‐induced bone resorption was investigated. Sixty 4‐week‐old male C57BL6/J mice were divided into two groups postweaning: without or with PA (access to voluntary running wheel 7–8 km/day) for 4 weeks. After 4 weeks with or without PA, mice were further subdivided into control diet or HFD groups for 8 weeks, and then all animals were switched back to control diet for an additional 4 weeks. Mice from the HFD groups were significantly heavier and obese; however, after 4 weeks of additional control diet their body weights returned to levels of mice on continuous control diet. Using μ‐CT and confirmed by pQCT of tibias and spines ex vivo, it was determined that bone volume and trabecular BMD were significantly increased with PA in control diet animals compared with sedentary animals without access to wheels, and such anabolic effects of PA on bone were sustained after ceasing PA in adult mice. Eight weeks of a HFD deteriorated bone development in mice. Unexpectedly, early‐life PA did not prevent persistent effects of HFD on deteriorating bone quality; in fact, it exacerbated a HFD‐induced inflammation, osteoclastogenesis, and trabecular bone loss in adult mice. In accordance with these data, signal transduction studies revealed that a HFD‐induced Ezh2, DNA methyltransferase 3a, and nuclear factor of activated T‐cells 1 expression were amplified in nonadherent hematopoietic cells. In conclusion, short‐term increased PA in early life is capable of increasing bone mass; however, it alters the HFD‐induced bone marrow hematopoietic cell‐differentiation program to exacerbate increased bone resorption if PA is halted. © 2021 Arkansas Children's Nutrition Center. JBMR Plus published by Wiley Periodicals LLC on behalf of American Society for Bone and Mineral Research.