The musculoskeletal effects of exercise are attenuated by estrogen deficiency. The peroxisome proliferator-activated receptor-α agonist fenofibrate exerts beneficial effects in bone and muscle. We therefore examined whether fenofibrate could enhance the musculoskeletal training response during estrogen deficiency. We investigated the combined effects of 8 weeks of fenofibrate and jumping exercise in ovariectomized (OVX) Sprague Dawley rats. Female rats were allocated to a sham-operated group and four OVX groups; fenofibrate (OVX-Fen), exercise (OVX-Ex), combined fenofibrate and exercise (OVX-FenEx), and a control group (OVX-Ctr) (n = 12/group). Fenofibrate (90 mg/kg/d) or methylcellulose was given by gavage. The combination of exercise and fenofibrate resulted in enhanced femoral bone mineral density (BMD) and improved bone microarchitecture compared with fenofibrate alone as well as increased trabecular BMD compared with OVX-Ctr. These effects were not seen in the OVX-Ex group. Femoral BMD was normalized in both exercise groups relative to sham and increased more in all intervention groups compared with OVX-Ctr. A higher plasma level of the bone formation marker type 1 collagen amino propeptide was observed in the OVX-Fen and OVX-FenEx groups compared with controls. Lean mass and soleus muscle weight were higher in the OVX-FenEx group than in the OVX-Ctr group, which coincided with lower mRNA levels of Atrogin1. These results suggest that peroxisome proliferator-activated receptor-α activation improves the musculoskeletal effects of exercise during estrogen deficiency.