Purpose: To investigate associations between hormonal contraceptive use and physical performance, body composition, and musculoskeletal injuries in basic military training. Methods: Female British Army recruits (n = 450) were grouped as non-users (n = 182), combined oral contraceptive users (COCP; n = 184), or progestin-only users (POC; n = 144). Physical performance (2.4 km run, lift strength, leg power), body composition, iron and vitamin D status, and bone metabolism were measured at the start (week 1) and end (week 13) of training. Lower body musculoskeletal injuries were recorded from medical records. Results: Training decreased 2.4 km run time (–3.7%) and fat mass (–9.6%), and increased lift strength (4.5%), leg power (1.5%), lean mass (5.4%), and whole-body (0.9%), arms (1.8%), and legs (1.4%) aBMD (p ≤ 0.015); the training response was not different between groups (p ≥ 0.173). Lift strength was lower in COCP users than non-users (p = 0.044). Whole-body, trunk, and legs aBMD were lower in POC users than non-users and/or COCP users (p ≤ 0.041). There were no associations between hormonal contraceptive use and musculoskeletal or bone stress injury (p ≥ 0.429). Training did not change ferritin (p = 0.968), but decreased haemoglobin and total 25(OH)D, and increased PTH, βCTX, and PINP (p ≤ 0.005); the training response was not different between groups (p ≥ 0.368). Total 25(OH)D was higher, and βCTX and PINP were lower, in COCP users than non-users and POC users; PTH was lower in COCP users than non-users, and; βCTX and PINP were higher in POC users than non-users (p ≤ 0.017). Conclusions: Hormonal contraceptive use was not associated with performance or injury outcomes in military training.