Key points Despite an attenuated fluctuation in ovarian hormone concentrations in well‐trained women, one in two of such women believe their menstrual cycle negatively impacts training and performance. Forthcoming large international events will expose female athletes to hot environments, and studies evaluating aerobic exercise performance in such environments across the menstrual cycle are sparse, with mixed findings. We have identified that autonomic heat loss responses at rest and during fixed‐intensity exercise in well‐trained women are not affected by menstrual cycle phase, but differ between dry and humid heat. Furthermore, exercise performance is not different across the menstrual cycle, yet is lower in humid heat, in conjunction with reduced evaporative cooling. Menstrual cycle phase does not appear to affect exercise performance in the heat in well‐trained women, but humidity impairs performance, probably due to reduced evaporative power. Abstract We studied thermoregulatory responses of ten well‐trained [V̇O2 max , 57 (7) ml min−1 kg−1] eumenorrheic women exercising in dry and humid heat, across their menstrual cycle. They completed four trials, each of resting and cycling at fixed intensities (125 and 150 W), to assess autonomic regulation, then self‐paced intensity (30 min work trial), to assess behavioural regulation. Trials were in early‐follicular (EF) and mid‐luteal (ML) phases in dry (DRY) and humid (HUM) heat matched for wet bulb globe temperature (WBGT, 27°C). During rest and fixed‐intensity exercise, rectal temperature was ∼0.2°C higher in ML than EF (P < 0.01) independent of environment (P = 0.66). Mean skin temperature did not differ between menstrual phases (P ≥ 0.13) but was higher in DRY than HUM (P < 0.01). Local sweat rate and/or forearm blood flow differed as a function of menstrual phase and environment (interaction: P ≤ 0.01). Exercise performance did not differ between phases [EF: 257 (37), ML: 255 (43) kJ, P = 0.62], but was 7 (9)% higher in DRY than HUM [263 (39), 248 (40) kJ; P < 0.01] in conjunction with equivalent autonomic regulation and thermal strain but higher evaporative cooling [16 (6) W m2; P < 0.01]. In well‐trained women exercising in the heat: (1) menstrual phase did not affect performance, (2) humidity impaired performance due to reduced evaporative cooling despite matched WBGT and (3) behavioural responses nullified thermodynamic and autonomic differences associated with menstrual phase and dry vs. humid heat.