This review summarizes the cross-sectional and training studies (acute and chronic) that have examined the relationship between exercise and plasma lipid and lipoproteins in women. Because women experience major fluctuations in reproductive hormones throughout the life cycle, the effects of the endogenous sex steroid status on the association between exercise and plasma lipoproteins also are addressed. In general, cross-sectional studies report a positive association between exercise and high density lipoprotein-cholesterol (HDL-C) in both pre- and postmenopausal women. Women on hormone replacement therapy who report exercising have higher HDL-C than sedentary women on hormone replacement therapy. Results from longitudinal training studies have been inconsistent because of experimental design, i.e., inadequate type, duration, and intensity of exercise intervention, lipid measurements made across the menstrual cycle, and studies carried out in women with high baseline HDL-C. Since lipids vary approximately 10-25% throughout the menstrual cycle, menstrual phase should be controlled when determining lipid changes after an exercise intervention. In approximately half of the intervention studies, an increase in HDL-C was demonstrated; the magnitude of the response that can be expected is approximately 10%. The responsiveness of pre- versus postmenopausal women to an exercise intervention is unknown. Studies are needed to clarify the interactive effects of exercise and sex hormones on plasma lipoproteins in women of all ages. This information will be useful in developing intervention programs to reduce the risk of coronary heart disease in women.