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Bone tissue is an important load-bearing organ of the human body. Moderate exercise enhances bone mass through mechanical loading, while high-intensity exercise may suppress it. Infrared therapy improves circulation, reduces pain/inflammation, and aids tissue repair. This paper presents a protocol to elucidate the modulatory effects of infrared therapy on high-intensity exercise-induced skeletal metabolic disorders and their molecular mechanisms. In this study, 24 6-week-old mice were randomly divided into control (CTR, N = 8), high-intensity treadmill exercise training (HIT, N = 8), and infrared therapy after high-intensity treadmill exercise (IRT, N = 8) groups. The latter two groups were trained for 8 weeks. In the first week, the mice underwent treadmill acclimation training. In the second week, the mice exercised at the rate of 24 m/min for 50 min, which increased at the rate of 1 m/min and 10 min every week until it reached 28 m/min for 80 min, with a gradient of 5° for 6 days. At the fifth week, HIT group mice were subjected to whole-body infrared therapy intervention, with the temperature controlled between 42 °C and 45 °C. The whole treatment process lasted ~40 min, 3x a week. Results showed that in the HIT group compared with those in the CTR group, the bone volume/total volume and trabecular number were significantly decreased, the trabecular separation was significantly increased, the osteogenic-related genes of Atf4, Runx2, and Ocn were downregulated, and the osteoclast-related genes of Ctsk and Mmp9 were upregulated. The micro-CT results of the IRT group mice showed no significant difference, but the osteogenesis-related genes Alp, Atf4, Runx2, Ocn, and Osx were upregulated in the femur. In addition, the osteoclast-related gene Ctsk was downregulated. Long-term high-intensity treadmill exercise may reduce bone mass. While infrared therapy does not affect bone mineral density, it may improve bone metabolism.