During exercise, substrate utilization plays a major role in performance and disease prevention. The contribution of fat and carbohydrates to energy expenditure during exercise is modulated by several factors, including intensity and duration of exercise, age, training and diet, but also gender. Because sex hormone levels change throughout a woman's lifetime (in connection with puberty, the menstrual cycle, use of oral contraceptives and menopause), the female population has to be considered specifically in terms of substrate utilization, and metabolic and hormonal responses to exercise. Before puberty, there is no difference between males and females when it comes to substrate oxidation during exercise. This is not the case during adulthood, since women are known to rely more on fat than men for the same relative intensity of exercise. Among adult women, the menstrual cycle and use of oral contraceptives may influence substrate oxidation. While some authors have noted that the luteal phase of the menstrual cycle is connected with greater lipid oxidation, compared with the follicular stage, other authors have found no difference. Among oral contraceptive users, fat oxidation is sometimes increased during prolonged exercise with a concomitant rise in lipolytic hormones, as well as growth hormone. If this result is not always observed, the type of oral contraceptive (monophasic vs triphasic) and hormone doses may be implicated. Menopause represents a hormonal transition in a woman's life, leading to a decline in ovarian hormone production. A decrease in fat oxidation is consequently observed, and some studies have demonstrated a similar respiratory exchange ratio during prolonged exercise in postmenopausal women and in men. As is the case during puberty, no sex difference should thus appear after menopause in the absence of hormonal replacement therapy (HRT). Results concerning women who take HRT remain conflicting. HRT may act on fat loss by increasing lipid metabolism, but this depends on how the treatment is administered (orally vs transdermally). To better understand the role of ovarian hormones in substrate oxidation, studies have made use of animal protocols to investigate cellular mechanisms. Estradiol and progesterone seem to have opposite effects, with greater lipid oxidation when estradiol is used alone. However, the concentrations used (physiological levels or pharmacological doses) may considerably modify fuel selection. In cases where conflicting data are observed in studies of substrate utilization and prolonged exercise in women, methodological reasons must be called into question. Too many parameters, which oftentimes are not specified, may modulate substrate utilization and metabolic and hormonal responses to prolonged exercise. Although information is generally provided about the type of exercise, its duration and the subjects' training level, detailed information is not always given about the subjects' nutritional state and, more specifically, the hormonal status of female subjects. The primary purpose of this review was to identify the impact of hormonal status on substrate oxidation among female subjects at rest and during exercise. A second aim was to describe gender differences in substrate utilization during exercise.