Purpose: To compare prefrontal cortex oxygenation in recreationally-active women using oral contraceptives (WomenOC; n = 8) to women with a natural menstrual cycle (WomenNC; n = 8) during incremental exercise to exhaustion. Methods: Participants performed incremental cycling to exhaustion to determine lactate threshold 1 (LT1) and 2 (LT2) and peak oxygen uptake (VO2peak). Prefrontal cortex oxygenation was monitored via near-infrared spectroscopy through concentration changes in oxy-haemoglobin ($Δ$[HbO2]), deoxy-haemoglobin ($Δ$[HHb]), total-haemoglobin ($Δ$[tHb]) and tissue saturation index (TSI). Results: 17$β$-oestradiol and progesterone were lower in WomenOC (35 ± 26; 318 ± 127 pmol˙L−1, respectively) than WomenNC (261 ± 156; 858 ± 541 pmol˙L−1, respectively). There were no differences in full blood examination results or serum nitric oxide (p > 0.05). However, WomenOC presented lower concentrations in ferric-reducing ability of plasma (− 8%; effect size; ES − 0.52 ± 0.61), bilirubin (− 32%; ES − 0.56 ± 0.62) and uric acid (− 17%; ES − 0.53 ± 0.61). Cardiopulmonary parameters were similar between groups during cycling, including VO2peak (p = 0.99). While there was a significant effect of time on all parameters measured by near-infrared spectroscopy during incremental cycling, there was no effect of OC at LT1, LT2 or exhaustion calculated as a change from baseline (TSI; p = 0.096, $Δ$[HbO2]; p = 0.143, $Δ$[HHb]; p = 0.085 and $Δ$[tHb]; p = 0.226). The change in TSI from LT1 to LT2 was significantly different between groups (WomenNC; mean difference + 2.06%, WomenOC; mean difference − 1.73%; p = 0.003). Conclusion: Prefrontal tissue oxygenation declined at a lower relative exercise intensity in WomenOC as compared to WomenNC, however, this did not influence VO2peak. The results provide the first evidence for variance in the cerebral oxygenation response to exercise, which may be associated with female sex hormones.