(1) Background: Exercise is effective in promoting and maintaining bone mass. The aim of this study was to detect the exercise-induced metabolic changes in bone tissue of zebrafish. (2) Methods: Thirty-eight zebrafish (Danio rerio, six months old) were analyzed. The exercise group (n = 19) received 8 weeks of counter-current swimming training. The control group (n = 19) was not subjected to exercise. Mineralization was quantified, and alkaline phosphatase (Alp) and anti-tartrate acid phosphatase (Trap) activities were estimated (n = 12). The metabolomics (n = 12) and transcriptomics (n = 14) data of bone tissue were used for the integration analyses. (3) Results: The results showed that the exercise training improved the bone mineralization of zebrafish, e.g., the exercise group (5.74 × 104 ± 7.63 × 103) had a higher mean optical density than the control group (5.26 × 104 ± 8.56 × 103, p = 0.046) for the caudal vertebrae. The amount of mineralized matrix in scales of the exercised zebrafish was also higher (0.156 ± 0.012 vs. 0.102 ± 0.003, p = 0.005). Both histological staining and biochemical analysis revealed increased Alp activity (0.81 ± 0.26 vs. 0.76 ± 0.01, p = 0.002) and decreased Trap activity (1.34 ± 0.01 vs. 1.36 ± 0.01, p = 0.005) in the exercise group. A total of 103 different metabolites (DMs, VIP ≥ 1, fold change (FC) ≥ 1.20 or ≤0.83, p < 0.050) were identified. Alanine, aspartate and glutamate metabolism, β-alanine metabolism, pyrimidine metabolism, and pantothenate and CoA biosynthesis were the significantly enriched metabolic pathways (p < 0.050). A total of 35 genes (q ≤ 0.050 (BH), |Log2FC| ≥ 0.5) were coenriched with the 103 DMs in the four identified pathways. Protein–protein interaction network analysis of the 35 genes showed that entpd3, entpd1, and cmpk2 were the core genes. (4) Conclusions: The results of this study suggest that alanine, aspartate and glutamate metabolism, β-alanine metabolism, pyrimidine metabolism, and pantothenate and CoA biosynthesis contributed to exercise-induced improvements in bone mass.