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The objective of this study was to ascertain the effects of menstrual cycle, oral contraception, and training status on the exercise-induced changes in circulating DHEA-sulphate and testosterone in young women. Twenty-eight healthy women were assigned to an untrained group (n = 16) or a trained group (n = 12) depending on their training background. The untrained group was composed of nine oral contraceptive users (OC+) and seven eumenorrheic women (OC-). The trained group was composed of OC+ subjects only. All the OC+ subjects were taking the same low-dose oral contraception. Three laboratory sessions were organised in a randomised order: a prolonged exercise test until exhaustion, a short-term exhaustive exercise test, and a control session. Blood specimens were collected before, during and after the exercise tests and at the same time of the day during the control session. Basal circulating testosterone was significantly lower in trained as compared to untrained subjects. In all subjects, the prolonged exhaustive exercise induced a significant increase in circulating DHEA-s and testosterone. The short-term exercise induced a significant increase in circulating DHEA-s in untrained eumenorrheic and in trained OC users only. Menstrual phases in OC- did not influence the responses. It was found that exhaustive physical exercise induced an increase in circulating DHEA-s and testosterone in young women. Oral contraception may limit short-term exercise-induced changes.