[Purpose] The performance of female athletes during their menstrual period has attracted the attention of researchers for many years. It is known that the menstrual period changes with exercise. Alpha-fetoprotein (AFP) is an oncofetal protein. In this study, the effect of maximal aerobic exercise in the luteal phase on some hormones and AFP in female athletes was researched. [Subjects and Methods] Twelve volunteers and healthy female footballers with normal menstrual cycles volunteered for this study as subjects. All the participants performed a shuttle run test. Blood samples were taken before, after, and one hour after exercise. Serum AFP, estrogen, progesterone, follicle-stimulating hormone (FSH), and luteinizing hormone (LH) values were measured using an auto analyzer and original kits. Heart rate measurements were performed before and after the exercise. [Results] AFP activity had significantly decreased after 1 h of recovery from the exercise in the female soccer players, and estrogen and LH activity had significantly increased immediately after the exercise. Progesterone activity had significantly decreased immediately after the exercise. FSH values had significantly increased immediately after the exercise. [Conclusion] The results of the present study show there were significant decreases in the values of AFP, which is a cancer parameter, 1 hour after the exercise. This result may be valuable in future physiotherapy studies on the relationship between exercise and cancer.