Premature infants have an increased risk of osteopenia due to limited bone mass accretion in utero and a greater need for bone nutrients. Until recently, most efforts to prevent osteopenia of prematurity focused on nutritional changes. Recent studies indicate that passive range-of-motion exercise of the extremities may lead to beneficial effects on body weight, increased bone mineralization, increased bone formation markers and leptin levels, and attenuation of the natural postnatal decline in bone speed of sound. These results suggest that exercise may play an important role in the prevention and treatment of osteopenia of prematurity. This review summarizes our current knowledge on the role of exercise in the prevention and treatment of osteopenia of prematurity.