--- - |2+ Key points One in two female athletes chronically take a combined, monophasic oral contraceptive pill (OCP). Previous thermoregulatory investigations proposed that an endogenous rhythm of the menstrual cycle still occurs with OCP usage. Forthcoming large international sporting events will expose female athletes to hot environments differing in their thermal profile, yet few data exist on how trained women will respond from both a thermoregulatory and performance stand‐point. In the present study, we have demonstrated that a small endogenous rhythm of the menstrual cycle still affects Tcore and also that chronic OCP use attenuates the sweating response, whereas behavioural thermoregulation is maintained. Furthermore, humid heat affects both performance and thermoregulatory responses to a greater extent than OCP usage and the menstrual cycle does. Abstract We studied thermoregulatory responses of ten well‐trained (, 57 ± 7 mL min−1 kg−1) women taking a combined, monophasic oral contraceptive pill (OCP) (≥12 months) during exercise in dry and humid heat, across their active OCP cycle. They completed four trials, each of resting and cycling at fixed intensities (125 and 150 W), aiming to assess autonomic regulation, and then a self‐paced intensity (30‐min work trial) to assess behavioural regulation. Trials were conducted in quasi‐follicular (qF) and quasi‐luteal (qL) phases in dry (DRY) and humid (HUM) heat matched for wet bulb globe temperature (WBGT) (27°C). During rest and exercise at 125 W, rectal temperature was 0.15°C higher in qL than qF (P = 0.05) independent of environment (P = 0.17). The onset threshold and thermosensitivity of local sweat rate and forearm blood flow relative to mean body temperature was unaffected by the OCP cycle (both P > 0.30). Exercise performance did not differ between quasi‐phases (qF: 268 ± 31 kJ, qL: 263 ± 26 kJ, P = 0.31) but was 5 ± 7% higher during DRY than during HUM (273 ± 29 kJ, 258 ± 28 kJ; P = 0.03). Compared to matched eumenorrhoeic athletes, chronic OCP use impaired the sweating onset threshold and thermosensitivity (both P < 0.01). In well‐trained, OCP‐using women exercising in the heat: (i) a performance‐thermoregulatory trade‐off occurred that required behavioural adjustment; (ii) humidity impaired performance as a result of reduced evaporative power despite matched WBGT; and (iii) the sudomotor but not behavioural thermoregulatory responses were impaired compared to matched eumenorrhoeic athletes. - 'The Journal of Physiology, EarlyView. '