Exercise is widely believed to induce favorable changes in the lipid profiles of women, particularly to increase the cardioprotective high-density lipoprotein cholesterol (HDL-C) fraction. A critical appraisal of the literature demonstrates that many research studies fail to consider potential confounders such as hormonal status and body composition. Although cross-sectional studies confirm that active women have higher HDL-C levels than sedentary women, intervention studies suggest that exercise training programs, in the absence of other interventions, do not cause HDL-C levels to rise appreciably in older women. High volumes of exercise may increase HDL-C levels in younger women. Exercise programs of moderate intensity appear to modify the HDL-C-lowering effects of a hypocaloric, fat-restricted diet.