Preliminary studies suggest that moderate physical activity may reduce both premenstrual distress (PD) and the ovarian steroid hormones, progesterone and estradiol, which have been implicated in PD. We attempted to replicate these findings, while exploring possible relationships between hormone levels and PD. In a cross-sectional study, 20 moderate exercisers and 34 sedentary women completed PD symptom questionnaires and collected urine samples, daily, throughout a complete menstrual cycle. PD was calculated as the difference in symptom scores reported during the average of the 4 days prior to menses and the average of the 4 days closest to mid-cycle. Urine samples taken from the last quarter of the menstrual cycle were analyzed for urinary estrone glucoronide (E1G) and pregnanediol glucoronide. In a prospective study the same measures were used with 14 sedentary women before and after a 24-week moderate exercise-training program. In the cross-sectional study, exercising women reported lower Pain symptoms, and had lower peak E1G levels than did sedentary women. The baseline PD symptoms loneliness, crying, and skin blemishes with were statistically significantly and positively correlated with pregnanediol glucoronide levels in the cross-sectional study. In the prospective study, exercise reduced the global PD symptom score, including the Water Retention and Pain scales, and reduced pregnanediol glucoronide and peak E1G levels. Moderate aerobic exercise may lessen both PD symptoms and late luteal phase ovarian hormone levels. An exercise program may benefit women with progesterone-related premenstrual affect disturbance.