Background: This study aimed to examine the impact of a 4-month multicomponent exercise program on bone and functional health in older women with osteopenia. Methods: Thirty women with osteopenia, aged 66.96 ± 5.71 years, were randomly assigned to two groups. The exercise group (Group A) participated in a combined exercise training program for 4 months, while the control group (Group B) remained untrained. All participants underwent bone density testing using DEXA, along with biochemical testing for bone metabolism and mineral exchange. This included measuring serum levels of calcium, phosphorus, vitamin D, alkaline phosphatase, parathyroid hormone, calcitonin, and estrogen. Functional capacity was assessed using various tests, including the 6 min distance (6MWD) test, the Timed Up and Go test (TUG), the 30 s Sit-to-Stand test (30 s-STS), and the Berg Balance Scale. Results: At the end of the study, repeated measures analysis showed a significant effect of time, group, and the interaction between time and group on the average scores of the 6MWD, TUG, 30 s-STS, and Berg Balance Scale for Group A. In terms of DEXA measurements, there were significant effects of time, group, and their interaction on average scores of Bone Mineral Density (BMD) and the right total hip T-score for Group A. Additionally, a statistically significant interaction between time and group was observed for lumbar spine BMD (p = 0.006). A significant group effect was also noted on the total left hip T-score (p = 0.033). Conclusions: A 4-month multicomponent exercise program can improve bone health and functional capacity in older women with osteopenia.