Most of the research on the level of high density lipoprotein cholesterol (HDL-C) and physical activity (PA) has been cross-sectional and thus self-selection of the exercisers may occur. In the current research, 229 white postmenopausal women, mean age 57.7 years, were randomized into either a walking or a control group. Of these 229 women, 204 women had blood samples available for lipid determinations. PA was measured subjectively by the Paffenbarger Survey and objectively with activity monitors. At baseline, there were no differences in PA, total HDL-C (HDL-TC), HDL-2C or HDL-3C between the two randomized groups. After two years, the PA of the walking group was significantly higher than the PA of the control group. This increase in PA was not accompanied by changes in any of the lipids or lipoproteins. Examination of the lipid changes in the walking group by compliance status and actual activity changes revealed little difference between groups. These results suggest that it is possible to increase physical activity in older women. However, the long-term effects of the increased activity on HDL-C were not apparent despite an observed strong cross-sectional relationship between PA and HDL-C.