The possible protective effect of physical exercise on the risk of breast cancer has gained attention during the last few years. According to the current concepts of biological mechanisms underlying the possible protection, physical activity may alter menstrual function by reducing the number of ovulatory menstrual cycles via a hormone-related pathway and, thus, reducing the cumulative exposure to progesterone and estrogen. Experimental studies on the effects of exercise suggest changes in menstrual characteristics and in ovarian hormone serum levels. The majority of epidemiological studies, in spite of limitations in estimating physical activity and partly incomplete control of confounding factors, suggest a protective effect of physical activity. Whether physical activity offers a means of primary prevention of breast cancer is still an open issue.