We examined the association between physical activity and bone mineral density (BMD) among 352 perimenopausal women. A personal activity computer was used to estimate the daily energy expenditure on physical activity. BMD was measured by photon absorptiometry at the lumbar spine, midradius, and distal radius. Multiple linear regression, controlling for other factors, indicated that physical activity was positively and significantly associated with BMD at all sites. Moderate physical activity has beneficial effects on BMD among perimenopausal women.