This study aims to determine the efficacy of exercise training for alleviating vasomotor and other menopausal symptoms. Late perimenopausal and postmenopausal sedentary women with frequent vasomotor symptoms (VMS) participated in a randomized controlled trial conducted in three sites: 106 women randomized to exercise and 142 women randomized to usual activity. The exercise intervention consisted of individual facility-based aerobic exercise training three times per week for 12 weeks. VMS frequency and bother were recorded on daily diaries at baseline and on weeks 6 and 12. Intent-to-treat analyses compared between-group differences in changes in VMS frequency and bother, sleep symptoms (Insomnia Severity Index and Pittsburgh Sleep Quality Index), and mood (Patient Health Questionnaire-8 and Generalized Anxiety Disorder-7 questionnaire). At the end of week 12, changes in VMS frequency in the exercise group (mean change, -2.4 VMS/d; 95% CI, -3.0 to -1.7) and VMS bother (mean change on a four-point scale, -0.5; 95% CI, -0.6 to -0.4) were not significantly different from those in the control group (-2.6 VMS/d; 95% CI, -3.2 to -2.0; P = 0.43; -0.5 points; 95% CI, -0.6 to -0.4; P = 0.75). The exercise group reported greater improvement in insomnia symptoms (P = 0.03), subjective sleep quality (P = 0.01), and depressive symptoms (P = 0.04), but differences were small and not statistically significant when P values were adjusted for multiple comparisons. Results were similar when considering treatment-adherent women only. These findings provide strong evidence that 12 weeks of moderate-intensity aerobic exercise do not alleviate VMS but may result in small improvements in sleep quality, insomnia, and depression in midlife sedentary women.