The fluctuating oestrogen and progesterone concentrations across the menstrual cycle in eumenorrhoeic women can alter substrate utilisation during exercise.  Menstrual phase comparative studies (in the late 1990s to early 2000s) employed stable-isotopic tracers to study carbohydrate, fat and protein metabolism during exercise and provide the grounding for our current knowledge in the field. More recently, the complexed molecular signalling pathways of oestrogen and progesterone are being uncovered and lends clearer understanding to explain mechanisms and potential magnitude of menstrual phase effect on energy metabolism during exercise. Multiple pathways of genomic and rapid non-genomic effects are described that vary by receptor isoform and tissue, thus explaining menstrual phase-specific differences in hepatic glucose production, whole body glucose uptake, tissue specific lipid storage and fat oxidation, and protein turnover during exercise (with added implications during fasted or carbohydrate-restricted training). For example, oestrogen suppresses, while progesterone either suppresses (in euglycaemic, insulin responsive state) or enhances (in glucose-deficient state) hepatic gluconeogenesis. This may drive the decrease in plasma glucose kinetics during exercise frequently reported in menstrual phases or conditions of elevated compared with suppressed ovarian hormones, despite oestrogen’s capacity to increase exercise-stimulated glucose uptake and GLUT4 expression in an oestrogen receptor isoform-specific manner. Instead, oestrogen enhances long change fatty acid uptake and oxidation in skeletal muscle and directs lipid availability away from adipose and toward skeletal muscle (while progesterone may partially antagonise some of these effects) explaining frequently reported increases in fat oxidation during exercise in late follicular or mid-luteal menstrual phases when oestrogen concentration is elevated. Oestrogen opposes, although progesterone’s effect to promote protein catabolism appears to dominate during exercise in the luteal phase possibly aligning with the ovarian hormones’ influences over gluconeogenesis and the need to provide gluconeogenic substrate during prolonged exercise. Furthermore, the chemical structure and properties of oestrogen affords cellular protection against the side-effects of metabolic flux by promoting plasma membrane stability, curbing free radical or lipid peroxidative damage and consequently modulating post-exercise inflammatory and exercise-induced damage responses or recovery time that is therefore menstrual phase specific. Thorough consideration of the current trends produces a sensible pattern of effect between menstrual phases that has practical application for future research design aiming to include eumenorrhoeic women and for athletes to optimise training or performance during racing.