Exercise is commonly listed as a remedy for the premenstrual syndrome (PMS), although no study has proven that it is an effective therapy. Numerous reports have suggested that exercise is associated with improved mood and symptoms. In those reports, however, the diagnosis of PMS was not clearly documented, nor was the exercise carefully controlled. Preliminary evidence suggests that exercise training in ovulatory, sedentary women and intensified training in women athletes decrease mild premenstrual symptoms. Although conditioning exercise is associated with short luteal phase and anovulatory cycles, decreases in mild premenstrual symptoms occur prior to menstrual cycle changes. Controlled studies of PMS and exercise training may not only document an effective, nonpharmacologic therapy for PMS but also clarify the hormonal etiology of this complex biobehavioral phenomenon.