The purpose of this double‐blind study was to investigate the influence of exercise on the FA profile of the nonesterified FA (NEFA) and phospholipid fractions in plasma of sedentary women supplemented with n−3 FA vs. women supplemented with oil containing no n−3 FA. Twenty sedentary, premenopausal women were randomly assigned to receive 12 capsules daily of either fish oil (3.5 g FPA and 2.4 g DHA per day, each as the ethyl ester) or evening primrose oil capsules (no detectable EPA or DHA). Each subject consumed the capsules for one menstrual cycle. At the end of the supplementation period, the sedentary subjects underwent an acute exercise trial [55% maximal oxygen consumption (VO2 max), 45 min] on a cycle ergometer. Two subjects in the fish oil group were removed from all calculations owing to noncompliance for reasons not related to side effects. There were no changes in the phospholipid composition of either group of women after exercise. In both control and fish oil‐supplemented women, NEFA levels in general rose after exercise. There were no changes in the percentage of any given individual NEFA in either supplementation group. However, absolute levels of certain individual NEFA (16∶0, 18∶0, 18∶1, and 18∶3n−3) increased with exercise. Women supplemented with fish oil had increased levels of n−3 NEFA [EPA, DHA, and docosapentaenoic acid (DPA)] prior to exercise. Exercise did not, however, increase the absolute levels of n−3 NEFA in the blood.