The contextual factors related to training tasks can play an important role in how a player performs and, subsequently, in how a player trains to face a competition. To date, there has been no study that has investigated the most demanding exercise in different training tasks in female futsal. Therefore, this study aimed to determine the most demanding efforts during different training tasks in a cohort study conducted in professional biological women futsal players using principal component analysis (PCA). A total of 14 elite women futsal players (age = 24.34 ± 4.51 years; height = 1.65 ± 0.60 m; body mass = 63.20 ± 5.65 kg) participated in this study. Seventy training sessions of an elite professional women’s team were registered over five months (pre-season and in-season). Different types of exercises were grouped into six clusters: preventive exercises; analytical situations; exercises in midcourt; exercises in ¾ of the court; exercises in full court; superiorities/inferiorities. Each exercise cluster was composed of 5–7 principal components (PCs), considering from 1 to 5 main variables forming each, explaining from 65 to 75% of the physical total variance. A total of 13–19 sub-variables explained the players’ efforts in each training task group. The first PCs to explain the total variance of training load were as follows: preventive exercises (accelerations; ~31%); analytical situations (impacts; ~23%); exercises in midcourt (high-intensity efforts; ~28%); exercises in ¾ of the court (~27%) and superiorities/inferiorities (~26%) (aerobic/anaerobic components); exercises in full court (anaerobic efforts; ~24%). The PCs extracted from each exercise cluster provide evidence that may assist researchers and coaches during training load monitoring. The descriptive values of the training load support a scientific base to assist coaches in the planning of training schedules.