This longitudinal study examined whether bone mineral density (BMD) of the lumbar spine and the proximal femur is maintained in pre-, peri-, and postmenopausal women by regular exercise. BMD was measured using dual-energy X-ray absorptiometry (DXA). Twenty-six Japanese women (mean age 47.8 years) were followed 4-5 years. Twenty-two subjects from volleyball or jogging clubs had participated in the same exercise for more than 5 years at the initial BMD measurement. Longitudinally, for these 22 athletes, the rate of change per year in BMD of the lumbar spine was -0.17% in the premenopause group and -2.60% in the perimenopause group. In the proximal femur of the athletes, BMD increased (rate of increase per year 1.80%) in the premenopause group, but decreased (rate of decrease per year 1.07%) in the perimenopause group. In the premenopause group, BMD of the proximal femur increased in all athletes. However, in the proximal femur, the nonexercise group showed a 0.31% decrease, a significant difference (P < 0.05) compared with the athletes. These findings suggest that women can achieve continuous gains in bone mass in the proximal femur before menopause by regular intense exercise. However, continued high-level physical activity in the perimenopausal women was not able to prevent bone loss.