Over the past 20 years, there have been a growing number of reports of low bone mineral density (BMD) or premature bone loss in individuals with a high physical activity level. These skeletal problems have been documented mainly in underweight women with amenorrhea and have often been linked to a sex hormone deficiency. However, sex hormone treatment has been shown to have limited efficacy for the prevention or treatment of low BMD in such women. Studies of bone turnover in women with sustained exercise-associated amenorrhea using metabolic markers of osteoblast activities and collagen synthesis have demonstrated an apparent reduction of bone formation that is associated with a low body mass index (BMI) and with endocrine disturbances that are characteristic of energy deficit. Comparable metabolic and endocrine disturbances have been observed in anorexic women that reverse with weight gain. Furthermore, increases of BMD accompany weight gain in both groups of women, even without a return of menses. Collectively, these observations suggest an important link between energy balance and the balance of bone turnover in women with exercise and/or diet-associated amenorrhea. Although there have been few studies that have explored relations between bone turnover, BMD, and energy balance in physically active men, there is evidence for a link between reduced bone formation and an abrupt, short-term energy deficit. Interestingly, the presence of low BMD in physically active men has not been associated with a sex hormone deficiency. This review evaluates the evidence that underlies the hypothesis that an energy deficit is instrumental in the disturbance of bone turnover that has been observed in physically active individuals.