The aim of the present study was to examine the effect of menstrual cycle on substrate metabolism, energy expenditure and performance during exhaustive incremental exercise in female students. For this purpose, 15 female students (mean age 21.17 ± 1.47 years, BMI 20.55 ± 1.71 kg/m2) participated voluntarily in this study. The design was adjusted in three stages: bleeding, follicular and the late luteal of the menstrual cycle. Exercise protocol was incremental until exhaustion. Subjects' oxygen and dioxide carbon in their respiration was collected and analyzed 30 minutes before the exercise in lying position (base), during incremental protocol until exhaustion and one hour after the exercise in lying position as EPOC. Fat oxidation, carbohydrate and energy expenditure was measured by indirect calorimetry. To analyze data, descriptive statistics and ANOVA with repeated measures were used. The results showed no significant difference in energy expenditure, performance, fat and carbohydrate oxidation in different stages of the menstrual cycle (bleeding, follicular and luteal) during exhaustive incremental exercise. In the incremental exercise, consumed calorie and carbohydrate and fat oxidation had no dramatic difference in the bleeding stage, early follicular and late luteal probably due to the lack of a dramatic difference between estrogen and progesterone concentrations in young girls.