The effects of swimming training associated with insulin treatment on the cortical bone health in young rats with severe type 1 diabetes remain unclear, although there is evidence of such effects on the cancellous bone. This study examined the effects of swimming training combined with insulin therapy on the femoral midshaft structural and mechanical properties in growing rats with type 1 diabetes. Male Wistar rats were divided into six groups (n = 10): control sedentary, control exercise, diabetic sedentary, diabetic exercise, diabetic sedentary plus insulin and diabetic exercise plus insulin. Diabetic rats received an injection (60 mg/kg body weight) of streptozotocin (STZ). Exercised animals underwent a swimming program for eight weeks. Diabetes induced by STZ decreased the bone mineral content (BMC) and density (BMD), and cortical thickness and maximum load and tenacity in the femoral midshaft. Insulin treatment partially counteracted the damages induced by diabetes on BMC, BMD and cortical thickness and tenacity. Swimming training did not affect the femoral structural and mechanical properties in diabetic rats. The combination of treatments did not potentiate the insulin effects. In conclusion, swimming training does not affect the benefits of insulin treatment on the femoral midshaft structural and mechanical properties in growing rats with severe type 1 diabetes.