Cigarette smoking remains the leading behavioral risk factor for chronic disease and premature mortality. This RCT tested the efficacy of moderate intensity aerobic exercise as an adjunctive smoking cessation treatment among women. Participants (N = 105; age = 42.5, SD = 11.2) received brief smoking cessation counseling and 10 weeks of nicotine replacement therapy and were randomized to 12 weeks of moderate intensity exercise (Exercise; n = 53) or 12 weeks of health education (Control; n = 52). Longitudinal models, with Generalized Estimating Equations, showed no differences between Exercise and Control in cotinine-verified 7-day point prevalence abstinence (Wald = 1.96, p = 0.10) or continuous abstinence (Wald = 1.45, p = 0.23) at 12-weeks (post-treatment) or 6-, 9-, or 12-month follow-up, controlling for differences in baseline nicotine dependence. There was no effect of exercise on smoking cessation. The present study adds to the literature suggesting null effects of exercise as a smoking cessation adjunctive treatment despite promising findings in short-term laboratory based studies.