Many adverse events (AEs) associated with aromatase inhibitors (AIs) involve symptoms related to the depletion of circulating estrogens, and may be related to efficacy. We assessed the relationship between specific AEs [hot flashes (HF) and musculoskeletal AEs (MSAE)] and survival outcomes in Dutch and Belgian patients treated with exemestane (EXE) in the Tamoxifen Exemestane Adjuvant Multinational (TEAM) trial. Additionally, the relationship between hormone receptor expression and AEs was assessed. Efficacy end points were relapse-free survival (RFS), overall survival (OS) and breast cancer-specific mortality (BCSM), starting at 6 months after starting EXE treatment. AEs reported in the first 6 months of treatment were included. Specific AEs comprised HF and/or MSAE. Landmark analyses and Cox proportional hazards models assessed survival differences up to 5 years. A total of 1485 EXE patients were included. Patients with HF had a better RFS than patients without HF [multivariate hazard ratio (HR) 0.393, 95% confidence interval (CI) 0.19-0.813; P = 0.012]. The occurrence of MSAE versus no MSAE did not relate to better RFS (multivariate HR 0.677, 95% CI 0.392-1.169; P = 0.162). Trends were maintained for OS and BCSM. Quantitative hormone receptor expression was not associated with specific AEs. Some AEs associated with estrogen depletion are related to better outcomes and may be valuable biomarkers in AI treatment.