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STUDY QUESTION Is physical activity associated with incident early menopause? SUMMARY ANSWER Physical activity is not associated with incident early menopause. WHAT IS KNOWN ALREADY Lifestyle factors such as physical activity may influence menopause timing, but results from prior research are inconsistent. STUDY DESIGN, SIZE, DURATION We evaluated the association between physical activity and the occurrence of early natural menopause in a prospective cohort study, the Nurses' Health Study II. Women were followed prospectively from 1989 to 2011. PARTICIPANTS/MATERIALS, SETTING, METHODS Our analysis included 107 275 women who were premenopausal at baseline. Menopause status was self-reported biennially. Time per week participating in specific activities was reported approximately every 4 years and used to calculate metabolic task hours per week (MET h/week). We used Cox proportional hazards model to evaluate the association between physical activity and incidence of natural menopause before age 45 years while controlling for potential confounding factors. MAIN RESULTS AND THE ROLE OF CHANCE There were 2 786 study members who experienced menopause before the age of 45. After adjustment for age, smoking and other factors, we observed no association between adulthood physical activity and early menopause. For example, compared to women reporting <3 MET h/week, the hazard ratio for women in the highest category (≥42 MET h/week) of cumulatively-averaged total physical activity was 0.89 (95% confidence interval: 0.76-1.04; P-trend: 0.26). Neither moderate nor strenuous activity in adolescence and young adulthood were related to risk. The relation of physical activity and early menopause did not vary across strata of body mass index or smoking status. LIMITATIONS, REASONS FOR CAUTION Physical activity and menopausal status were self-reported, but repeated assessment of physical activity and prospective report of menopause status likely reduce the potential for non-differential misclassification. While the majority of our study participants were white, it is unlikely that the physiological relation of activity and early menopause varies by ethnicity. WIDER IMPLICATIONS OF THE FINDINGS Findings from our large prospective study do not support an important association between physical activity and early menopause. STUDY FUNDING/COMPETING INTEREST(S) This project was supported by UM1CA176726 and R01HD078517 from the National Institutes of Health, Department of Health and Human Services. No competing interests are declared. TRIAL REGISTRATION NUMBER N/A.