Introduction: There is an ongoing search for evidence based on unconventional modalities that can treat the physical and psychological symptoms resulting from menopause. The main objective of this study was to analyze the effects of Jazz Dance, compared to the control group, on stress, urinary incontinence, and sexual function in menopausal women in the short and long term, as well as to investigate stress as a predictor of sexual function and urinary incontinence. Methods: Two-arm randomized clinical trial (Jazz Dance Intervention Group (JDIG) (n = 23) and Control Group (CG) (n = 24)) with 47 women (53.41 ± 2.8 years). Data collection was carried out at four timepoints: baseline, post-intervention, and 6-month and 12-month follow-ups. The instruments used were the Female Sexual Function Index (FSFI); Perceived Stress Scale (PSS), and International Consultation on Incontinence Questionnaire—Short Form (ICIQ-SF). Results: Positive results over time were found in the JDIG for stress (P = .030) and sexual function in the domains of satisfaction (P = .041), desire (P = .018), and orgasm (P = .033) in the long term. Stress was a predictor of sexual dysfunction and urinary incontinence. Discussion: Jazz Dance is a effective, and low-cost modality for managing stress. For sexual function, the benefits need to be looked at in the long term, and this modality does not seem to be an effective management alternative for urinary incontinence.