The main objective of the study was to examine the relationship between physical activity and Body Mass Index (BMI) on menopausal symptoms in Australian midlife women. This study is a secondary data analysis of the Queensland Midlife Women Health Study (2001), which included a randomized, population-based postal survey with a questionnaire. Selected women completed a questionnaire, which included measurement of sociodemographic factors (age, employment and education attainment), general health, use of hormone replacement therapy, smoking, exercise pattern and BMI. The measures that are reported in this paper include menopausal symptoms, BMI and exercise. After adjusting for confounding variables, significant multivariate difference was still found for most menopausal symptoms, including a significant relationship between somatic symptoms, psychological symptoms, depression and anxiety. No significant relationship was seen, however, between vasomotor symptoms, sexual function and exercise. In conclusion, the study showed that exercise was effective in relieving somatic and psychological symptoms, including depression and anxiety. These findings are promising news for women who are interested in using non-pharmacological interventions for relieving menopausal symptoms.