Exercise can prevent osteoporosis and improve immune function, but the mechanism remains unclear. Here, we show that exercise promotes reticulocalbin-2 secretion from the bone marrow macrophages to initiate bone marrow fat lipolysis. Given the crucial role of lipolysis in exercise-stimulated osteogenesis and lymphopoiesis, these findings suggest that reticulocalbin-2 is a pivotal regulator of a local adipose-osteogenic/immune axis. Mechanistically, reticulocalbin-2 binds to a functional receptor complex, which is composed of neuronilin-2 and integrin beta-1, to activate a cAMP-PKA signaling pathway that mobilizes bone marrow fat via lipolysis to fuel the differentiation and function of mesenchymal and hematopoietic stem cells. Notably, the administration of recombinant reticulocalbin-2 in tail-suspended and old mice remarkably decreases bone marrow fat accumulation and promotes osteogenesis and lymphopoiesis. These findings identify reticulocalbin-2 as a novel mechanosensitive lipolytic factor in maintaining energy homeostasis in bone resident cells, and it provides a promising target for skeletal and immune health.