Synthetic progestins in oral contraceptives are thought to blunt heat dissipation by reducing skin blood flow and sweating. However, whether progestin-releasing intrauterine devices (IUDs) modulate heat loss during exercise-heat stress is unknown. We used direct calorimetry to measure whole-body total (dry + evaporative) heat loss in young, physically active women (mean (SD); aged 24 (4) years, 39.3 (5.3) ml/kg/min) with (IUD; n = 19) and without (Control; n = 17) IUDs in the follicular and luteal phases of the menstrual cycle during light- and moderate-intensity exercise at fixed rates of heat production (∼175 and ∼275 W/m2 ) in 30°C, ∼21% relative humidity. Between-group and -phase differences were evaluated using traditional hypothesis testing and statistical equivalence testing within pre-determined bounds (±11 W/m2 ; difference required to elicit a ±0.3°C difference in core temperature over 1 h) in each exercise bout. Whole-body total heat loss was statistically equivalent between groups within ±11 W m-2 (IUD-Control [90% CIs]; Light: -2 [-8, 5] W/m2 , P = 0.007; Moderate: 0 [-6, 6] W/m2 , P = 0.002), as were dry and evaporative heat loss (P ≤ 0.023), except for evaporative heat loss during moderate-intensity exercise (equivalence: P = 0.063, difference: P = 0.647). Whole-body total and evaporative heat loss were not different between phases (P ≥ 0.267), but dry heat loss was 3 [95% CIs: 1, 5] W/m2 greater in the luteal phase (P ≤ 0.022). Despite this, all whole-body heat loss outcomes were equivalent between phases (P ≤ 0.003). These findings expand our understanding of the factors that modulate heat exchange in women and provide valuable mechanistic insight of the role of endogenous and exogenous female sex hormones in thermoregulation. KEY POINTS: Progestin released by hormonal intrauterine devices (IUDs) may negatively impact heat dissipation during exercise by blunting skin blood flow and sweating. However, the influence of IUDs on thermoregulation has not previously been assessed. We used direct calorimetry to show that IUD users and non-users display statistically equivalent whole-body dry and evaporative heat loss, body heat storage and oesophageal temperature during moderate- and high-intensity exercise in a warm, dry environment, indicating that IUDs do not appear to compromise exercise thermoregulation. However, within IUD users and non-users, dry heat loss was increased and body heat storage and oesophageal temperature were reduced in the luteal compared to the follicular phase of the menstrual cycle, though these effects were small and unlikely to be practically meaningful. Together, these findings expand our understanding of the factors that modulate heat exchange in women and have important practical implications for the design of future studies of exercise thermoregulation.