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This study aimed to analyze the effects of physical exercise (PE) on bone health in menopausal women through an umbrella review and to assess the quality of systematic reviews (SRs) and meta-analyses (MAs) included. The review was registered in PROSPERO (CRD42020208130) and the Rayyan application was used. The methodological quality of the included studies was evaluated by A MeaSurement Tool to Assess Systematic Reviews (AMSTAR), and Grading of Recommendations Assessment, Development and Evaluation (GRADE) was applied to assess the level of evidence of the results. The results showed that low-intensity jumping exercises with longer sessions proved to be efficient in the hip segment. Swimming requires further investigation, as it showed high heterogeneity. Aerobic and resistance exercises showed inconsistent results, requiring further studies with these modalities of PE. Concurrent training showed improvements in the lumbar spine, femoral neck, Ward's triangle and trochanter. Finally, combined resistance exercises are effective in preserving bone mineral density (BMD) of the femoral neck and lumbar spine in postmenopausal women. In conclusion, jumping exercises were efficient in the hip, while aerobic and resistance exercises are still inconsistent. Concurrent training showed improvements in BMD of the lumbar spine, femoral neck, Ward's triangle and trochanter. Finally, combined resistance protocols are effective in preserving BMD of the femoral neck and lumbar spine in postmenopausal women.