Bone and muscle tissues influence each other through the integration of mechanical and biochemical signals, giving rise to bone-muscle crosstalk. They are also known to secrete osteokines, myokines, and cytokines into the circulation, influencing the biological and pathological activities in local and distant organs and cells. In this regard, even osteoporosis and sarcopenia, which were initially thought to be two independent diseases, have recently been defined under the term "osteosarcopenia", to indicate a synergistic condition of low bone mass with muscle atrophy and hypofunction. Undoubtedly, osteosarcopenia is a major public health concern, being associated with high rates of morbidity and mortality. The best current defence against osteosarcopenia is prevention based on a healthy lifestyle and regular exercise. The most appropriate type, intensity, duration, and frequency of exercise to positively influence osteosarcopenia are not yet known. However, combined programmes of progressive resistance exercises, weight-bearing impact exercises, and challenging balance/mobility activities currently appear to be the most effective in optimising musculoskeletal health and function. Based on this evidence, the aim of our review was to summarize the current knowledge about the role of exercise in bone-muscle crosstalk, highlighting how it may represent an effective alternative strategy to prevent and/or counteract the onset of osteosarcopenia.