Women have a number of specificities that differentiate them from men. In particular, the role of sex steroid hormones and the menstrual cycle (MC) significantly impact women's physiology. The literature has shown nonlinear relationships between MC, exercise, and nutritional intake. Notably, these relationships are bidirectional and less straightforward than one would suppose. For example, the theoretical implications of the MC's phases on exercise performance do not always translate into relevant practical effects. There is often a disconnect between internal measures (e.g., levels of hormone concentrations) and external performance. Furthermore, it is not entirely clear how nutritional intake varies across the MC's phases and whether these variations impact on exercise performance. Therefore, a thorough review of the existing knowledge could help in framing these complex relationships and potentially contribute to the optimization of exercise prescription and nutritional intake according to the naturally occurring phases of the MC. Throughout this review, an emerging trend is the lack of generalizability and the need to individualize interventions, since the consequences of the MC's phases and their relationships with exercise and nutritional intake seem to vary greatly from person to person. In this sense, average data are probably not relevant and could potentially be misleading.