Although the study of the menstrual cycle influence on endurance exercise has recently increased, there is a lack of literature studying its influence on females’ cardiorespiratory recovery. Thus, the aim of the present work was to assess menstrual cycle influence on post-exercise recovery following a high intensity interval exercise in trained females. Thirteen eumenorrheic endurance-trained females performed an interval running protocol in three menstrual cycle phases: early follicular phase (EFP), late follicular phase (LFP), and mid-luteal phase (MLP). The protocol consisted of 8 × 3-min bouts at 85% of their maximal aerobic speed (vVO2peak) with a 90-s rest between bouts and a final 5-min active recovery at 30% vVO2peak. All variables were averaged every 15 s, obtaining 19 moments during recovery (time factor). To analyze the effects of the menstrual cycle on the final active cardiorespiratory recovery, an ANOVA for repeated measures was performed. ANOVA showed an effect on menstrual cycle phase on ventilation (EFP: 1.27 ± 0.35; LFP: 1.19 ± 0.36; MLP: 1.27 ± 0.37), breathing frequency (EFP: 35.14 ± 7.14; LFP: 36.32 ± 7.11; MLP: 37.62 ± 7.23), and carbon dioxide production (EFP: 1120.46 ± 137.62; LFP: 1079.50 ± 129.57; MLP: 1148.78 ± 107.91). Regarding the interaction results (phase x time), ventilation is higher at many of the recovery times during the MLP, with less frequent differences between EFP and LFP (F = 1.586; p = 0.019), while breathing reserve is lower at many of the recovery times during MLP, with less time differences between EFP and LFP (F = 1.643; p = 0.013). It seems that the menstrual cycle affects post-exercise recovery specially during the MLP, rising ventilation and lowering breathing reserve, giving rise to an impaired ventilatory efficiency.