There is a clear need to improve understanding of the effects of physical activity and exercise on appetite control. Therefore, the acute and short-term effects (three days) of a single bout of cycling on energy intake and energy expenditure were examined in women not using hormonal contraceptives. Sixteen active (n = 8) and inactive (n = 8) healthy pre-menopausal women completed a randomised crossover design study with two conditions (exercise and control). The exercise day involved cycling for one hour (50% of maximum oxygen uptake) and resting for two hours, whilst the control day comprised three hours of rest. On each experimental day participants arrived at the laboratory fasted, consumed a standardised breakfast and an ad libitum pasta lunch. Food diaries and combined heart rate-accelerometer monitors were used to assess free-living food intake and energy expenditure, respectively, over the subsequent three days. There were no main effects or condition (exercise vs control) by group (active vs inactive) interaction for absolute energy intake (P > 0.05) at the ad libitum laboratory lunch meal, but there was a condition effect for relative energy intake (P = 0.004, ηp2 = 0.46) that was lower in the exercise condition (1417 ± 926 kJ vs. 2120 ± 923 kJ). Furthermore, post-breakfast satiety was higher in the active than in the inactive group (P = 0.005, ηp2 = 0.44). There were no main effects or interactions (P > 0.05) for mean daily energy intake, but both active and inactive groups consumed less energy from protein (14 ± 3% vs. 16 ± 4%, P = 0.016, ηp2 = 0.37) and more from carbohydrate (53 ± 5% vs. 49 ± 7%, P = 0.031, ηp2 = 0.31) following the exercise condition. This study suggests that an acute bout of cycling does not induce compensatory responses in active and inactive women not using hormonal contraceptives, while the stronger satiety response to the standardised breakfast meal in active individuals adds to the growing literature that physical activity helps improve the sensitivity of short-term appetite control.