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Previous randomized controlled trials have not supported moderate intensity exercise as an efficacious adjunct to smoking cessation treatments for women; however, compliance with exercise programs in these studies has been poor. The purpose of this pilot study was to estimate the effects of moderate intensity exercise on smoking cessation outcomes under optimal conditions for exercise program compliance. Sixty previously sedentary, healthy, female smokers were randomized to an 8-week program consisting of brief baseline smoking cessation counseling and the nicotine patch plus either 150 min/week of moderate intensity exercise or contact control. Participants attended a median of 86.4% and 95.5% of prescribed exercise/control sessions, respectively. There was a moderate, though statistically nonsignificant, effect of exercise at post-treatment for objectively verified 7-day point prevalence abstinence (48.3% vs. 23.3%; OR = 3.07, 95% CI: 0.89–11.07) and prolonged abstinence (34.5% vs. 20.0%; OR = 2.11, 95% CI: 0.56–8.32). Effects were attenuated when controlling for potential confounders, and after a 1-month, no-treatment period. The findings provide a preliminary indication that, given adequate compliance, moderate intensity exercise may enhance short-term smoking cessation outcomes for women; however, a larger trial is warranted.