Background Weight-loss-induced fat loss improves cardiometabolic health in individuals with overweight and obesity; however, weight loss can also result in bone loss and increased fracture risk. Weight-loss-induced bone loss may be attenuated with exercise. Our aim was to compare changes in bone mineral density (BMD) in adults with overweight and obesity who undertook diet-induced weight loss alone or in combination with exercise. Methods We included randomized controlled trials (RCTs) in adults with overweight or obesity (aged ≥18 years; body mass index ≥25 kg/m2) that prescribed diet-induced weight loss alone or in combination with supervised exercise, and we measured any bone structural parameters. Risk of bias was assessed using the Cochrane Risk of Bias tool. Random-effects meta-analyses determined mean changes and net mean differences (95% confidence intervals [95%CIs]) in the percentage of areal BMD (aBMD) change between groups. Results We included 9 RCTs. Diet-induced weight loss led to significant losses in femoral neck aBMD (mean change: −1.73% (95%CI: −2.39 to −1.07), p < 0.001) and total hip aBMD (−2.19% (95%CI: −3.84 to −0.54), p = 0.009). Femoral neck aBMD losses were significantly greater in the diet-induced weight loss group compared to the exercise plus diet-induced weight loss group (net difference: −0.88% (95%CI: −1.73 to −0.03)); however, there were no differences in aBMD changes at any other skeletal site: total hip (−1.96% (95%CI: −4.59 to 0.68)) and lumbar spine (−0.48% (95%CI: −1.81 to 0.86)). aBMD changes did not differ significantly according to exercise modality (resistance exercise, aerobic exercise, or a combination of the 2) during diet-induced weight loss. Conclusion Diet-induced weight loss led to greater femoral neck bone loss compared to diet-induced weight loss plus exercise. Bone loss at the total hip and lumbar spine was not attenuated by exercise during diet-induced weight loss. The lack of consistent skeletal benefits may be due to the insufficient duration and/or training intensities of most exercise interventions. Additional RCTs with appropriate, targeted exercise interventions should be conducted.