Bone metastases are a common and serious complication of solid tumors such as breast cancer, prostate cancer, lung cancer, and kidney cancer, and occur at a high rate in patients with advanced cancer. This pathological process not only frequently leads to skeletal-related events such as severe bone pain, pathological fractures, spinal cord compression, and hypercalcemia—conditions that severely impact patients’ quality of life—but may also significantly increase the risk of death. Cancer bone metastasis is a complex, multistage cascade involving key steps such as the detachment of tumor cells from the primary tumor, their invasion and entry into the bloodstream, and their colonization, dormancy, and reactivation within the bone microenvironment. In recent years, exercise—as a safe and easily implementable non-pharmacological intervention—has demonstrated significant potential in inhibiting bone metastasis, improving the bone microenvironment, and alleviating related clinical symptoms. Its mechanisms of action may involve multiple levels. First, at the mechanical load level, mechanical signals generated by exercise can directly act on bone cells, inhibiting tumor cell infiltration and colonization by regulating endothelial cell permeability and osteoclast activity. Second, at the endocrine and paracrine levels, exercise can alter the expression profiles of microRNAs (such as miR-486 and miR-34b) carried by extracellular vesicles and particles (EVPs) in the circulation, thereby inhibiting tumor cell proliferation and migration by targeting cell cycle-related genes. Furthermore, exercise can remodel the immune microenvironment, enhance the cytotoxic activity of antitumor immune cells, and improve oxygen supply to tumor tissues, thereby alleviating hypoxia-induced immunosuppression. Finally, at the metabolic intervention level, exercise can induce systemic metabolic reprogramming, increasing the nutritional demands of normal tissues, thereby competing with tumor cells for nutrients and forming a “metabolic barrier” in distal organs such as bones. This article reviews the pathogenesis and classification of bone metastases, including osteolytic, osteogenic, and mixed types, and elaborates in detail on the complex processes by which tumor cells undergo colonization, dormancy, and reactivation within the bone microenvironment. Furthermore, based on a comprehensive analysis of human and animal studies on exercise interventions for bone metastases, this paper highlights the mechanisms by which exercise inhibits tumor formation, growth, and spread through the regulation of mechanical loading, extracellular vesicles and granules, as well as via immune and metabolic pathways, thereby interfering with bone metastasis. However, the array of exercise modalities and intensities available for patients grappling with the challenges of cancer-related bone metastases remains markedly constrained, and the formulation of tailored exercise prescriptions continues to be devoid of robust, evidence-based medical backing. This review aims to explore the effects of exercise on bone health in patients with bone metastases, analyze the factors and considerations that should be taken into account in exercise prescriptions, and provide new theoretical support and insights for developing personalized exercise programs for these patients and further advancing relevant clinical research. Future research directions should include the development of evidence-based, personalized exercise prescriptions and further clarification of the safety boundaries and best practice standards for exercise interventions, thereby promoting the advancement of relevant clinical research and ultimately improving patients’ clinical outcomes and quality of life.