Objectives Lactation is the most energy‐demanding phase of reproduction for human females, but it is still unclear how women in different environments are able to meet this additional energy demand. Previous studies have investigated whether changes in metabolism could have an energy‐sparing effect in lactation, with conflicting results. Here, we asked whether increased energy efficiency in physical activity serves as an energy‐sparing mechanism in lactation. Methods We used a longitudinal design with a control group. Participants were 33 well‐nourished, exclusively breastfeeding women and 29 non‐pregnant, non‐lactating (NPNL) controls aged 32 ± 4 years. Lactating women were measured at peak‐ and post‐lactation. NPNL controls completed a baseline measurement and a follow‐up visit. Energy efficiency in physical activity was assessed using a graded submaximal exercise test and calculated as delta efficiency (change in work accomplished over change in energy expended) and gross efficiency (work accomplished over energy expended). Results There was no significant change in either delta efficiency or gross efficiency from peak to post lactation in lactating women, and no significant difference in delta efficiency between lactating women and NPNL controls at any time period. However, lactating women showed greater between‐visit variation in delta efficiency than the NPNL controls. Additionally, 79% of lactating participants lost weight between visits (mean weight loss −3.6 ± 2.3kg), consistent with a mobilization of body tissues to support lactation. Conclusion We found no support for the idea that lactating women undergo an increase in energy efficiency to support the energy costs of lactation.