A longer lifespan has increased the emphasis on bone health, which is often compromised with age. Studies have shown that exercise yields a positive influence on bone mineral density (BMD), especially when done during the early years of life (second to third decades). A 12-week study was undertaken using dual-energy X-ray absorptiometry (DEXA) to assess changes in BMD (total, lumbar and neck of the femur) in 70 females (mean age 20.1 years) before and after a 12-week intense exercise programme. The exercise programme consisted of a daily 5 km run and two isolated resistance exercises for each body region. The Wilcoxon signed-rank test was used to determine if any changes took place after the intervention. Statistically significant increases occurred in only the BMD of the lumbar spine (L1-L4) (2.54%) and neck of the femur (NOF) (9.35%), with clinical significance shown only in the NOF, as the increase was greater than 7%. This study’s results thus indicate that a relatively short intense intervention of 12 weeks can improve BMD in young women, thereby possibly assisting in preventing osteoporosis and fractures later on in life. Further studies are recommended to determine the minimum time needed to achieve a clinically significant change in the total BMD as well as the lumbar spine BMD.