The aim of this study was to evaluate whether the menstrual cycle and its underlying hormonal fluctuations affect muscle damage and inflammation in well-trained females following an eccentric exercise. Nineteen eumenorrheic women performed an eccentric squat-based exercise in the early follicular phase, late follicular phase and mid-luteal phase of their menstrual cycle. Sex hormones and blood markers of muscle damage and inflammation –creatine kinase, myoglobin, lactate dehydrogenase, interleukin-6, tumoral necrosis factor-α, and C reactive protein– were analyzed in each phase. No effect of menstrual cycle phase was observed (p > 0.05), while an interaction for interleukin-6 was shown (p = 0.047). Accordingly, a moderate effect size [0.68 (0.53)–0.84 (0.74)], indicated that interleukin-6 values 2 h post-trial (2.07 ± 1.26 pg/mL) were likely to be higher than baseline (1.59 ± 0.33 pg/mL), 24 h (1.50 ± 0.01 pg/mL) and 48 h (1.54 ± 0.13 pg/mL) in the mid-luteal phase. Blood markers of muscle damage and inflammation were not affected by the menstrual cycle in well-trained women. The eccentric exercise barely triggered muscle damage and hence, no inflammation was observed, possibly due to participants training status. The mid-luteal phase was the only phase reflecting a possible inflammatory response in terms of interleukin-6, although further factors than sex hormones seem to be responsible for this finding.