Corticosteroids are a common therapy in many disease states, despite frequent and potentially serious side effects. Nutritional supplementation with conjugated linoleic acid (CLA) has been shown to increase fat-free mass, whereas supplementation with n-3 and n-6 fatty acids has been shown to increase bone mineral density (BMD). To determine whether CLA can attenuate the side effects of 8 weeks of corticosteroid administration, we randomized twenty-four 5-week-old male Sprague–Dawley rats into 1 of 4 groups: control; control + methylprednisolone (7 mg·kg–1·week–1); CLA diet (1% CLA w/w); or CLA plus methylprednisolone. Body composition, bone mineral content (BMC), and BMD were assessed with dual-energy X-ray absorptiometry at the onset and at the end of the 8-week intervention. The mechanical properties of bone were determined using 3-point femur bending at the end of the intervention. Methylprednisolone resulted in an attenuation of the increase in body mass and lean mass over the 8 weeks (p < 0.05). CLA prevented the methylprednisolone-induced attenuation of body mass and lean mass accumulation. CLA also resulted in a greater increase in BMC (p < 0.05) in the lumbar spine. The energy at failure of the isolated femurs was increased with CLA (p < 0.05). Dietary CLA prevents many of the growth- and bone-related side effects arising from 8 weeks of corticosteroid administration, results in greater increases in BMC and BMD, and can contribute to an improvement in some of the mechanical properties of bone.