The purpose of this study was to elucidate the effect of 6 months of aerobic exercise on urinary excretion of female steroid hormones in pre and postmenopausal women and to check the basal values of urinary steroid. To this end, 20 premenopausal (age 45.56 ± 4.06 years) and 20 postmenopausal (age 52.27 ± 3.80 years) women, all sedentary, were studied before and after a supervised 6-month exercise training program (at 60-70% of maximal heart rate, 60 min/day, 3 days/week), based on aerobic dance. The exercise included standing on one leg, squatting, walking, and touching their heels. Before and after the program, anthropometric data and VO(2max) were measured and urine samples were collected and analyzed by gas chromatography/mass spectrometry (GC/Q-MS). Both, pre and postmenopausal women, improved their VO(2max) after the aerobic exercise program. Regarding the urinary steroids, on the one hand, important differences were observed between urinary estrogens and progestagens in pre and postmenopausal women in basal values. Estrone (P < 0.05), pregnanediol (P < 0.01), pregnanetriol (P < 0.05), and estriol (P < 0.01) levels were lower in postmenopausal women than in premenopausal women. On the other hand, the aerobic exercise program did not affect postmenopausal women in the same way as premenopausal women. After the exercise program, no changes in urinary steroid levels were observed in premenopausal women. However, the aerobic exercise program caused an increase in urinary excretion of pregnanediol (P < 0.05) and pregnanetriol (P < 0.05) in postmenopausal women.