This study tested the potential risk-reduction benefits of Mediterranean Diet (MD) and regular exercise training on microvascular activity and cardiorespiratory capacity in postmenopausal women. Fifteen sedentary postmenopausal participants (age = 54.6 ± 3.6) were randomised into either exercise training or exercise combined with following MD for eight-weeks, and were assessed for their cardiorespiratory capacity, and upper- and lower-limb endothelial cutaneous vascular conductance (CVC) test using Laser Doppler Fluximetry (LDF), coupled with measuring endothelium-dependent Acetylcholine Chloride (Ach) and -dependent Sodium Nitropurruside (SNP) vasodilators. Exercise training improved cardiorespiratory capacity as indicated by ventilatory threshold (11.5 ± 2.1 vs. 14.0 ± 3.0 ml·kg-1·min-1, p < 0.05) and improved the microcirculatory perfusion results of CVC for both vasodilators Ach (p < 0.001, d = 0.65) and SNP (p = 0.003, d = 0.53) in the lower-limb and ACh (p = 0.01, d = 0.41) and SNP (p = 0.03, d = 0.48) in the upper-limb, all (p < 0.05). However, combining exercise with MD showed a stronger improvement in Ach (p = 0.02, d = 0.36) of the lower limb, than in exercise alone group. The results suggest that regular moderate exercise improves microcirculatory vascular function and increases exercise tolerance, both are responsible for reducing cardiovascular risk in postmenopausal women. However, combining MD with exercise suggests additional microvascular vasodialiatory improvement, suggesting an effective strategy for further cardiovascular risk-reduction in this high-risk group.