Horses can gallop within hours of birth, and may begin training for athletic competition while still growing. This review cites studies on the effects of exercise on bone, tendon and articular cartilage, as detected by clinical and research imaging techniques, tissue biochemical analysis and microscopy of various kinds. For bone, alterations in bone mineral content, mineral density and the morphology of the mineralized tissue are the most common end-points. Apparent bone density increases slightly after athletic training in the cortex, but substantially in the major load paths of the epiphyses and cuboidal bones, despite the lower material density of the new bone, which is deposited subperiosteally and on internal surfaces without prior osteoclastic resorption. With training of greater intensity, adaptive change is supervened by patho-anatomical change in the form of microdamage and frank lesions. In tendon, collagen fibril diameter distribution changes significantly during growth, but not after early training. The exact amount and type of protracted training that does cause reduction in mass average diameter (an early sign of progressive microdamage) have not been defined. Training is associated with an increase in the cross-sectional area of some tendons, possibly owing to slightly greater water content of non-collagenous or newly synthesized matrix. Early training may be associated with greater thickness of hyaline but not calcified articular cartilage, at least in some sites. The age at which adaptation of cartilage to biomechanical influences can occur may thus extend beyond very early life. However, cartilage appears to be the most susceptible of the three tissues to pathological alteration. The effect of training exercise on the anatomical or patho-anatomical features of connective tissue structures is affected by the timing, type and amount of natural or imposed exercise during growth and development which precedes the training.