This study determined the influence of gender, menstrual phase (MP), and oral contraceptive (OC) use on immunological changes in response to endurance exercise. Twelve women and 11 men similar in age, aerobic power, and activity level cycled for 90 min at 65% maximal aerobic power. Women were OC users ( n = 6) or nonusers (NOC) and cycled during the follicular (Fol) and the luteal (Lut) phases. Venous blood was collected before and after exercise to determine leukocyte counts, IL-6 concentrations, and cortisol. Higher resting levels of neutrophils (∼1.5-fold) and cortisol (∼2.5-fold) were found in OC vs. NOC and men. Exercise-induced immune cell count and IL-6 changes were similar between men and NOC, except for an ∼38% greater lymphocyte response in NOC vs. men ( P = 0.07). Neutrophil, monocyte, and lymphocyte responses to exercise during Lut in OC were greater than during Fol and also greater than the responses in men ( P ≤ 0.003). Changes in immune cell counts were consistently greater during Lut in OC vs. NOC, regardless of MP, but only neutrophil responses reached statistical significance ( P = 0.01). The exercise-induced change in IL-6 was ∼80% greater in NOC vs. OC during Fol ( P = 0.06), but it was similar between these groups during Lut. Cortisol changes with exercise were not different between groups or MP. These results highlight the necessity to control for gender, and in particular OC use, when designing studies evaluating exercise and immunology.