We investigated the influence of the menstrual cycle (MC) on leukocyte response after exercise-induced muscle damage (EIMD). During the early follicular (E-FP, n = 12) or mid-luteal phase (M-LP, n = 12), 24 untrained females with eumenorrhea performed 60 eccentric exercises using nondominant arms. Blood samples were collected at pre- and 4, 48, and 96 h postexercise to analyze estradiol and progesterone concentrations, leukocyte count and fractionation, and creatine kinase (CK) activity. We also assessed the maximal voluntary isometric contraction torque of elbow flexion, range of motion in the elbow joint, upper-arm circumference, and muscle soreness as indirect muscle damage markers at pre-; immediately post-; and 4, 48, and 96 h postexercise. The percent change in neutrophil counts from pre- to 4 h postexercise was lower in M-LP than in E-FP (E-FP, 30.7% [15.9–65.7%] vs. M-LP, 10.3% [−2.3–30.0%]; median [interquartile range: 25–75%]; p = 0.068). Progesterone concentration at pre-exercise was significantly negatively correlated with the percent change in neutrophil counts from pre- to 4 h postexercise in M-LP (r = −0.650, p = 0.022). MC did not affect CK activity or other muscle damage markers. Thus, progesterone concentration rather than MC may be related to neutrophil response following EIMD.