The aim of this study was to compare the clinical efficacy of low-dose inhaled budesonide (once or twice daily) and placebo, administered via Turbuhaler®, on exercise-induced bronchoconstriction (EIB) in children with mild asthma. Fifty-seven steroid-naive children (7–16 years old; 41 boys, 16 girls) with EIB participated in this sub-population study according to the following inclusion criterion: a maximum fall in forced expiratory volume in 1 s (FEV1) ≥ 10% after a standardized treadmill test. Mean baseline FEV1 was 100.3% of predicted, and mean maximum fall in FEV1 after the standardized exercise test was 22%. The study was a double-blind, randomized, parallel-group design. After 2 weeks of run-in, the children received inhaled budesonide 100 µg or 200 µg once daily in the morning, 100 µg twice daily, or placebo, for 12 weeks. After 12 weeks of treatment, the fall in FEV1 after the exercise test was significantly less in all three budesonide groups (7.2–7.8%) vs. placebo (16.7%). Daytime symptom scores were significantly lower in all three budesonide groups compared with placebo (p < 0.02). The three budesonide groups did not differ significantly, and no significant change in lung function was found in any group. Therefore children with mild asthma, but with significant EIB, improved their exercise tolerance and symptom control after 3 months of treatment with a low dose of inhaled budesonide given once or twice daily.