Exercise produces hormonal changes. The more intensive and prolonged the exercise is, the more pronounced the changes are. In postpubertal female athletes, these changes are generally transient (for example, anovulation and menstrual cycle irregularity), with no long-term effects. In younger athletes, however, the hormonal changes produced by prolonged and strenuous exercise, particularly when competition is involved, require careful monitoring for their potential effects on the time of onset of puberty and the delay in menarche. Stress, anxiety, recurrent increase in body core temperature produced by strenuous physical activity, and an inadequate diet are among the most important factors that can enhance these hormonal alterations. We review the recent literature on hormonal changes in exercising women, focusing on the effects of exercise on gonadotrophins, sex steroid hormones, cortisol, prolactin, melatonin, growth hormone, endorphins, and parathyroid hormone.