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The menopausal transition and postmenopausal years are associated with body composition/endocrine adjustments, increase of some co-morbid conditions, and changes in social environment. During this phase, several symptoms and co-morbid complications are frequent and may vary in intensity and duration. Physical activity and exercise have been recommended although there are controversies from observational studies regarding their benefits. The present review analyzes different outcomes giving preference to randomized controlled trials (RCTs) and meta-analyses that assess the real impact of various conditions prevalent during the second half of female life. Body composition, insulin sensitivity, and metabolic endpoints can be improved by programmed exercise. On the contrary, vasomotor symptoms and perceived stress are not improved by exercise. Depressive and anxiety symptoms may be improved by programmed exercise. Future RCTs should specifically define intensity and duration of weekly exercise in order to achieve the appropriate recommendations.