The bone formation metabolism dominated by osteoblasts (OB) has been restrained and the bone resorption metabolism dominated by osteoclasts (OC) is abnormally elevated, leading to bone metabolism disorders. As the key seven-transmembrane proteins that sense external signal stimuli in OBs, chondrocytes and OCs, G protein-coupled receptors (GPCRs) have been widely recognized by bone in their key regulatory roles in the differentiation and function of OBs, chondrocytes and OCs. Thus, those research results have got more attention in metabolism field. Loss of GPCRs function or abnormal increase in the homeostasis of the osteocyte homeostasis leads to the differentiation and dysfunction of OB, chondrocytes and OC, which results in bone loss and degeneration of the microstructure of bone tissue. Studies have shown that exercise is an important way to improve bone metabolism disorders by promoting bone formation and inhibiting bone resorption. The analysis found that the molecular regulation mechanism of this process is related to the key signaling pathways (cAMP/PKA/Atf4, JNK/AP-1, ERK1/2, etc.) and cytokines (T-PINP, Nkx3.2, Sox9 and Cleaved-caspase-3, etc.) are closely related to the differentiation and function of OB, chondrocytes and OC. Except from the confirmed GPR48, this review tested out the molecular mechanism of GPCRs regulating bone formation and bone resorption and their role in the effect of exercise on bone metabolism. The mechanism of other GPCRs in the improvement of bone metabolism by exercise has yet to be revealed on what kind of exercise mode and intensity can effectively regulate GPCR and improve bone metabolism and so on. The results help to screen out sensitive GPCRs on membranes as “effectors” for drug development of bone metabolic diseases and “star proteins” for mechanical stimulation in exercise intervention and provide more targets or perspectives for the research and prevention of osteoporosis.