We studied thermoregulatory responses of ten well-trained [Symbol, 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.