Abstract Purpose Menstrual cycle phase affects resting hepcidin levels, but such effects on the hepcidin response to exercise are still unclear. Thus, we investigated the hepcidin response to running during three different menstrual cycle phases. Methods Twenty-one endurance-trained eumenorrheic women performed three identical interval running protocols during the early-follicular phase (EFP), late-follicular phase (LFP), and mid-luteal phase (MLP). The protocol consisted of 8 × 3 min bouts at 85% of the maximal aerobic speed, with 90-s recovery. Blood samples were collected pre-exercise and at 0 h, 3 h and 24 h post-exercise. Results Data presented as mean ± SD. Ferritin were lower in the EFP than the LFP (34.82 ± 16.44 vs 40.90 ± 23.91 ng/ml, p = 0.003), while iron and transferrin saturation were lower during the EFP (58.04 ± 19.70 µg/dl, 14.71 ± 5.47%) compared to the LFP (88.67 ± 36.38 µg/dl, 22.22 ± 9.54%; p < 0.001) and the MLP (80.20 ± 42.05 µg/dl, 19.87 ± 10.37%; p = 0.024 and p = 0.045, respectively). Hepcidin was not affected by menstrual cycle (p = 0.052) or menstrual cycle*time interaction (p = 0.075). However, when comparing hepcidin at 3 h post-exercise, a moderate and meaningful effect size showed that hepcidin was higher in the LFP compared to the EFP (3.01 ± 4.16 vs 1.26 ± 1.25 nMol/l; d = 0.57, CI = 0.07–1.08). No effect of time on hepcidin during the EFP was found either (p = 0.426). Conclusion The decrease in iron, ferritin and TSAT levels during the EFP may mislead the determination of iron status in eumenorrheic athletes. However, although the hepcidin response to exercise appears to be reduced in the EFP, it shows no clear differences between the phases of the menstrual cycle (clinicaltrials.gov: NCT04458662).