This study aimed to assess the effects of co-ingestion of carbohydrate with milk (MILK) and isocaloric carbohydrate beverage (CHO) on post-exercise recovery and subsequent exercise capacity, considering the menstrual cycle. This study included 12 women with regular menstrual cycles who completed four test days, which started with glycogen-depleting exercise using a cycle ergometer in the early follicular phase (EF) and late follicular phase (LF), followed by 240 min of recovery from the ingestion of 200 mL of CHO or MILK every 30 min immediately after the exercise (POST0) until 210 min post-exercise. After 240 min, participants performed an exercise capacity test. Blood samples and breathing gas samples were collected before the exercise (PRE), POST0, and 120 (POST120) and 240 min after the end of exercise (POST240) to determine the concentrations of estradiol, progesterone, blood glucose, blood lactate, free fatty acid (FFA), and insulin and the respiratory exchange ratio, fat oxidation, and carbohydrate oxidation. The exercise time at exercise capacity test was not significantly different in terms of menstrual cycle phases and recovery beverages ingested. However, there was a significant positive correlation between the exercise capacity test and area under the curve (AUC) of FFA concentrations from POST0 to POST240 in each group (EF + CHO, p < 0.05; LF + CHO, p < 0.05; EF + MILK, p < 0.01; and LF + MILK, p < 0.05). The AUC of FFA from POST120 to POST240 showed no difference between EF (CHO and MILK) and LF (CHO and MILK). However, the AUC of FFA concentrations from POST120 to POST240 was significantly greater in MILK (EF and LF) than that in CHO (EF and LF) (p < 0.05). In active women, circulating substrates and hormone concentrations during short recovery post-exercise are not affected by the menstrual cycle. However, MILK may affect circulating substrates during recovery and the exercise capacity after recovery.