ObjectivesThe objective of the study was to compare the effectiveness of combined exercise training during different menstrual phases on pain, quality of life and menstrual symptoms.MethodsA total of 72 participants for the study were randomly assigned into three groups: Group 1 (N = 24), Group 2 (N = 24) and Group 3 (N = 24) which had undergone combined exercise training during the follicular, luteal and bleeding phases of their menstrual cycle, respectively. The treatment programme included combined exercise training involving deep breathing exercises, Kegel exercises, core strengthening exercises and stretching exercises. Exercises were repeated 5 times with hold duration of 15 s with total of 30–40 min session with 5–10 min of warm‐up and cooldown sessions. Demographic data and outcome measures (Visual Analogue Scale [VAS], Menstrual Symptom Questionnaire [MSQ], and Working ability, Location, Intensity, Days, Duration [WaLIDD]) were assessed at baseline and assessed again during the first menstrual cycle after the completion of the treatment programme. One‐way ANOVA was used for between‐group comparisons of the normally distributed data.ResultsWithin‐group comparison of the outcome variables except VAS in group 3 showed a statistically significant difference in all groups. Comparison of post‐intervention results of the outcome measures of all the groups revealed a statistically significant difference for the VAS, while there was no statistically significant difference for in between the comparison of the WaLIDD and MSQ scoring.ConclusionCombined exercise training is effective in reducing pain only when performed during follicular and luteal phases and significantly improve quality of life and menstrual symptoms in all phases of the menstrual cycle.