Previous studies have highlighted the positive effects of Estradiol (E2) replacement therapy and physical exercise on skeletal muscle during menopause. However, the comparison effects of exercise training (ET) and estradiol replacement therapy during menopause on skeletal muscle have not been investigated to date. This study aimed to compare the effects of endurance exercise training versus E2 replacement therapy on mitochondrial density, redox status, and inflammatory biomarkers in the skeletal muscle of ovariectomized rats. Thirty female Wistar rats (12-week-old) were randomly assigned into three groups: Untrained ovariectomized rats (UN-OVX, n = 10); untrained ovariectomized rats treated with estradiol replacement therapy (E2-OVX); and, trained ovariectomized rats (TR-OVX). After ovariectomy, the E2-OVX rats were treated subcutaneously with E2 (implanted Silastic® capsule containing 360 μg of 17β-estradiol/mL) while the TR-OVX group performed an exercise training protocol (50–70% of maximal running speed on a treadmill, 60 min/day, 5 days/week for 8 weeks). After euthanasia, the soleus muscle was processed for histological and biochemical evaluations. Only exercise prevented the reduction of maximal oxygen consumption and increased mechanical efficiency (ME). While mitochondrial muscle density, total antioxidant capacity (FRAP), catalase (CAT) activity, and interleukin 10 levels were higher in TR-OVX, only OVX-E2 presented higher CAT activity and lower interleukin 6 levels. Endurance exercise training compared with E2 replacement therapy maintains the aerobic capacity improving the ME of OVX rats. In addition, only endurance exercise training raises the skeletal muscle mitochondrial content and tends to balance the redox and inflammatory status in the skeletal muscle of OVX rats.