Menstrual cycle phase has long been thought to modulate thermoregulatory function. However, information pertaining to the effects of menstrual phase on time-dependent changes in whole body dry and evaporative heat exchange during exercise-induced heat stress and the specific heat load at which menstrual phase modulates whole body heat loss remained unavailable. We therefore used direct calorimetry to continuously assess whole body dry and evaporative exchange in 12 habitually active, non-endurance-trained, eumenorrheic women [21 ± 3 (SD) yr] within the early-follicular, late-follicular, and midluteal menstrual phases during three 30-min bouts of cycling at increasing fixed exercise intensities of 40% (Low), 55% (Moderate), and 70% (High) peak oxygen uptake, each followed by a 15-min recovery, in hot, dry conditions (40°C, 15% relative humidity). This model elicited equivalent rates of metabolic heat production among menstrual phases ( P = 0.80) of ~250 (Low), ~340 (Moderate), and ~430 W (High). However, dry and evaporative heat exchange and the resulting changes in net heat loss (dry ± evaporative heat exchange) were similar among phases (all P > 0.05), with net heat loss averaging 216 ± 43 (Low), 287 ± 63 (Moderate), and 331 ± 75 W (High) across phases. Accordingly, cumulative body heat storage (summation of heat production and loss) across all exercise bouts was similar among phases ( P = 0.55), averaging 464 ± 122 kJ. For some time, menstrual cycle phase has been thought to modulate heat dissipation; however, we show that menstrual cycle phase does not influence the contribution of whole body dry and evaporative heat exchange or the resulting changes in net heat loss or body heat storage, irrespective of the heat load. NEW & NOTEWORTHY Menstrual phase has long been thought to modulate thermoregulatory function in eumenorrheic women during exercise-induced heat stress. Contrary to that perception, we show that when assessed in young, non-endurance-trained women within the early-follicular, late-follicular, and midluteal phases during three incremental exercise-induced heat loads in hot, dry conditions, menstrual phase does not modify whole body dry and evaporative heat exchange or the resulting changes in body heat storage, regardless of the heat load employed.