Women's weight and body composition is significantly influenced by the female sex-steroid hormones. Levels of these hormones fluctuate in a defined manner throughout the menstrual cycle and interact to modulate energy homeostasis. This paper reviews the scientific literature on the relationship between hormonal changes across the menstrual cycle and components of energy balance, with the aim of clarifying whether this influences weight loss in women. In the luteal phase of the menstrual cycle it appears that women's energy intake and energy expenditure are increased and they experience more frequent cravings for foods, particularly those high in carbohydrate and fat, than during the follicular phase. This suggests that the potential of the underlying physiology related to each phase of the menstrual cycle may be worth considering as an element in strategies to optimize weight loss. Studies are needed to assess the weight loss outcome of tailoring dietary recommendations and the degree of energy restriction to each menstrual phase throughout a weight management program, taking these preliminary findings into account.