Although preclinical and clinical studies have shown that exercise can inhibit bone metastasis progression, the mechanism remains poorly understood. Here, we found that non-small cell lung cancer (NSCLC) cells adjacent to bone tissue had a much lower proliferative capacity than the surrounding tumor cells in patients and mice. Subsequently, it was demonstrated that osteocytes, sensing mechanical stimulation generated by exercise, inhibit NSCLC cell proliferation and sustain the dormancy thereof by releasing small extracellular vesicles with tumor suppressor micro-RNAs, such as miR-99b-3p. Furthermore, we evaluated the effects of mechanical loading and treadmill exercise on the bone metastasis progression of NSCLC in mice. As expected, mechanical loading of the tibia inhibited the bone metastasis progression of NSCLC. Notably, bone metastasis progression of NSCLC was inhibited by moderate exercise, and combinations with zoledronic acid had additive effects. Moreover, exercise preconditioning effectively suppressed bone metastasis progression. This study significantly advances the understanding of the mechanism underlying exercise-afforded protection against bone metastasis progression.