Using prospective daily reporting, this study examined the relationship between exercise participation and menstrual pain, physical symptoms, and negative mood. Twenty-one sedentary women and 20 women who participated in regular exercise completed a modified version of the Prospective Record of the Impact and Severity of Menstrual Symptoms (PRISM) calendar for two complete menstrual cycles. Analyses revealed that pain was greater in all women during menses compared to the follicular and luteal phases. Moreover, exercise status was found to interact with menstrual cycle phase in predicting pain. Specifically, exercise participants reported less pain than sedentary women during menses, though there were no differences between the two groups during the follicular and luteal phases. Exercise status was also associated with greater reports of anxiety during menses. Otherwise, exercise status was not observed to influence reports of symptoms or negative mood throughout the menstrual cycle. These results suggest that participation in even moderate amounts of exercise affects the experience of menstrual pain in women.