Background Preliminary evidence demonstrates some parameters of metabolic control, including glycaemic control, lipid control and insulin resistance, vary across the menstrual cycle. However, the literature is inconsistent, and the underlying mechanisms remain uncertain. This study aimed to investigate the association between the menstrual cycle phase and metabolites and to explore potential mediators and moderators of these associations. Methods We undertook a cross-sectional cohort study using UK Biobank. The outcome variables were glucose; triglyceride; triglyceride to glucose index (TyG index); total, HDL and LDL cholesterol; and total to HDL cholesterol ratio. Generalised additive models (GAM) were used to investigate non-linear associations between the menstrual cycle phase and outcome variables. Anthropometric, lifestyle, fitness and inflammatory markers were explored as potential mediators and moderators of the associations between the menstrual cycle phase and outcome variables. Results Data from 8694 regularly menstruating women in UK Biobank were analysed. Non-linear associations were observed between the menstrual cycle phase and total (p < 0.001), HDL (p < 0.001), LDL (p = 0.012) and total to HDL cholesterol (p < 0.001), but not glucose (p = 0.072), triglyceride (p = 0.066) or TyG index (p = 0.100). Neither anthropometric, physical fitness, physical activity, nor inflammatory markers mediated the associations between the menstrual cycle phase and metabolites. Moderator analysis demonstrated a greater magnitude of variation for all metabolites across the menstrual cycle in the highest and lowest two quartiles of fat mass and physical activity, respectively. Conclusions Cholesterol profiles exhibit a non-linear relationship with the menstrual cycle phase. Physical activity, anthropometric and fitness variables moderate the associations between the menstrual cycle phase and metabolite concentration. These findings indicate the potential importance of physical activity and fat mass as modifiable risk factors of the intra-individual variation in metabolic control across the menstrual cycle in pre-menopausal women.