The benefits of regular physical activity are well established, but evidence for a protective effect against the adverse health consequences accompanying the menopausal transition is limited. This article reviews that evidence, concluding that more physical activity is generally associated with fewer somatic and mood symptoms. Physical activity seems to minimize weight gain and changes in body composition and fat distribution experienced at midlife and might attenuate the rapid bone density loss that occurs. Given these benefits, clinicians treating perimenopausal women should encourage their patients to follow guidelines for physical activity (≥150 minutes a week of moderate-intensity activity).