Bone and skeletal muscle are integrated organs and their coupling has been considered mainly a mechanical one in which bone serves as attachment site to muscle while muscle applies load to bone and regulates bone metabolism. However, skeletal muscle can affect bone homeostasis also in a non-mechanical fashion, i.e., through its endocrine activity. Being recognized as an endocrine organ itself, skeletal muscle secretes a panel of cytokines and proteins named myokines, synthesized and secreted by myocytes in response to muscle contraction. Myokines exert an autocrine function in regulating muscle metabolism as well as a paracrine/endocrine regulatory function on distant organs and tissues, such as bone, adipose tissue, brain and liver. Physical activity is the primary physiological stimulus for bone anabolism (and/or catabolism) through the production and secretion of myokines, such as IL-6, irisin, IGF-1, FGF2, beside the direct effect of loading. Importantly, exercise-induced myokine can exert an anti-inflammatory action that is able to counteract not only acute inflammation due to an infection, but also a condition of chronic low-grade inflammation raised as consequence of physical inactivity, aging or metabolic disorders (i.e., obesity, type 2 diabetes mellitus). In this review article, we will discuss the effects that some of the most studied exercise-induced myokines exert on bone formation and bone resorption, as well as a brief overview of the anti-inflammatory effects of myokines during the onset pathological conditions characterized by the development a systemic low-grade inflammation, such as sarcopenia, obesity and aging.