Some studies suggest that performing strength training may cause alterations on the hypothalamic pituitary axis, resulting in steroid hormone variations. Intense training has been associated to slow the concentrations of estrogens and progesterone in women. The main purpose of this study was to evaluate the effects of strength training on the urinary steroid concentrations across the menstrual cycle phases. Twenty healthy women, regularly menstruating and not using pharmacologic contraceptives, performed a strength training during 8 weeks. Participants worked out 3 sets × 10 repetitions, with 2 min recovery time between sets, at 70-75 % of one maximum strength repetition. Urine samples were taken in three different phases of the menstrual cycle (menstrual, follicular and luteal) and they were collected both before and after training. Testosterone, DHEA, cortisol, cortisone, estradiol and progesterone concentrations were determined by gas chromatography-mass spectrometry. The results showed a significant decline after training in the urinary excretion of estradiol, during the menstrual and follicular phase, and progesterone, during the menstrual and luteal phase. No significant difference was observed for other steroid hormones. These data demonstrated that strength training can play an important role in the estrogen and progesterone metabolism in women, decreasing their levels across the menstrual cycle.