Studies have reported opposing effects of high-fat diet and mechanical stimulation on lineage commitment of the bone marrow stem cells. Yet, how the bone marrow modulates its gene expression in response to the combined effects of mechanical loading and a high-fat diet has not yet been addressed. We investigated whether early-life voluntary physical activity can modulate the effects of a high-fat diet on body composition, bone phenotype and bone marrow gene expression in male Sprague Dawley rats. We show that early-life high-fat diet positively affected body weight, total fat percentage and bone mass indices. In the bone marrow, early-life high-fat diet resulted in adipocyte hypertrophy and a pro-inflammatory and pro-adipogenic gene expression profile. Crucially, the bone marrow of the rats that undertook wheel exercise while on a high-fat diet retained a memory of the early-life exercise. This memory lasted at least 60 days after the cessation of the voluntary exercise and was manifest by: 1) the bone marrow adipocyte size of the exercised rats not exhibiting hypertrophy; and 2) genes associated with mature adipocyte function being down-regulated. Our results are consistent with the marrow adipose tissue having a unique and long-lasting response to high-fat feeding in the presence or absence of exercise. Overall design: Eighty male SD rats were randomised at weaning into : chow-fed group (C-SED) or a high-fat fed group. The high-fat fed group was further divided into three sub-groups: the high-fat sedentary (HF-SED) group, the high-fat late-exercise (HF-LEX) group, and the high-fat early-exercise (HF-EEX) group. At day 120-123, the animals were culled and total RNA was extracted from the bone marrow of the femur. The RNA was sequenced using Illumina Hiseq4000 technology. Differential gene expression analysis was carried out using Tuxedo suite of bioinformatic tools.