Menstrual blood is the result of the shedding of the uterine lining, which occurs when a fertilized egg is not implanted in the uterus. The lining of the uterus thickens each month in preparation for a possible pregnancy, and if pregnancy does not occur, the lining is shed during menstruation. This shedding of the uterine lining, along with blood and tissue, is what causes menstrual blood.