The cardiopulmonary exercise test (CPET) constitutes a gold standard for the assessment of an individual’s cardiovascular fitness. A trend is emerging for the development of new machine-learning techniques applied to the automatic process of CPET data. Some of these focus on the precise task of detecting the exercise thresholds, which represent important physiological parameters. Three are the major challenges tackled by this contribution: (A) regression (i.e., the process of correctly identifying the exercise intensity domains and their crossing points); (B) generation (i.e., the process of artificially creating a CPET data file ex-novo); and (C) explanation (i.e., proving an interpretable explanation about the output of the machine learning model). The following methods were used for each challenge: (A) a convolutional neural network adapted for multi-variable time series; (B) a conditional generative adversarial neural network; and (C) visual explanations and calculations of model decisions have been conducted using cooperative game theory (Shapley’s values). The results for the regression, generation, and explanatory techniques for AI-assisted CPET interpretation are presented here in a unique framework for the first time: (A) machine learning techniques reported an expert-level accuracy in the classification of exercise intensity domains; (B) experts are not able to substantially differentiate between a real vs an artificially generated CPET; and (C) Shapley’s values can provide an explanation about the choices of the algorithms in terms of ventilatory variables. With the aim to increase their technology-readiness level, all the models discussed in this contribution have been incorporated into a free-to-use Python package called pyoxynet (ver. 12.1). This contribution should therefore be of interest to major players operating in the CPET device market and engineering.