Those trying before ovulation were more likely to reach for a cigarette again than those trying at other times, US scientists claimed.
Writing in the journal Addiction, the researchers said differing levels of female sex hormones were to blame.
Smoking charity Quit said that women should still try to stop, regardless of the timing.
The links between different parts of the menstrual cycle and mood are well established, and there is even some evidence that women smokers tend to smoke more at some points.
The addiction to nicotine is so powerful, however, that scientists are constantly looking for ways to increase the chances of kicking the habit.
The researchers looked at a total of 200 women, who were asked to give up smoking either in the “follicular” stage of their cycle – the period leading up to ovulation, when an egg is produced by the ovary, or the “luteal” stage, the roughly two-week stage that completes the cycle.
Each stage is marked by differences in the hormones produced by the body.
After 30 days, 86% of the women who starting trying to give up during their follicular phase had “relapsed”, and smoked at least one cigarette.
This compared to 66% of the group who had started in their luteal phase.
While the precise reasons for this remained unclear, the scientists from the University of Minnesota suggested that the hormone differences linked to the different menstrual phases could affect the severity of nicotine withdrawal symptoms felt by the quitters.
Hormones might even play a role in the speed at which nicotine is removed from the bloodstream by the body, they said.
“More research is needed to understand these biological mechanisms,” they wrote.
“Our findings support an important role for ovarian hormones in nicotine addiction and smoking cessation.”
A spokesman for the charity Quit said: “Women reading this report shouldn’t panic about the findings, as there’s lots of help available regardless of the time of the month.”