Menopause is characterised by several hormonal changes through which women undergo aging. These changes lead to psychological, somatic, urogenital and vasomotor symptoms that influence the quality of life of women. Studies have shown that physical exercise can benefit women in the pre- and postmenopausal stages. However, the physiological benefits of exercise during the menopausal period have been less explored, as well as which type of exercise is most recommended at this stage of life. Therefore, the present review aimed to investigate the physiological changes promoted by the practice of physical exercise during the menopause period. A search for scientific articles was performed in the PubMed database using the descriptors ‘menopause’ and ‘exercise’ and the ‘AND’ connector. The period selected for this study was from 2014 to 2018. After applying the inclusion and exclusion criteria, five articles were selected. As a result, studies suggest that physical exercise promotes hormones, body composition and positive cardiovascular changes, decreases menopausal symptoms and improves psychosocial health. In addition, it is associated with an improvement in the quality of life.