We examined whether off-season (OffS) and pre-contest (PreC) periods affect blood oxidative stress, inflammatory, immunological, and psychological markers in 20 bodybuilders. The athletes recorded their food intake (3-day record), physical activities, mood states (Profile of Mood States, POMS), recovery-stress (Recovery–Stress Questionnaire for Athletes, RESTQ-Sport), and upper respiratory symptoms (Wisconsin Upper Respiratory Symptom Survey, WURSS-21), and blood was obtained for biochemical analysis. Almost all athletes were in positive energy balance during OffS, while bodybuilders presented markedly restricted energy intake (∼45%) leading to loss of weight (–9%) and fat mass (–45%) with preservation of fat-free mass in PreC. Protein intake was high during both periods, while lipid and carbohydrate intakes were reduced ∼50% in PreC. Almost all athletes consumed 100% of the Recommended Dietary Allowance (RDA) for micronutrients in OffS, while 45% and 75% of the athletes had intakes below the RDA for vitamins A and E in PreC. Oxidative damage to lipids (thiobarbituric acid reactive substances, TBARS), protein carbonyls, and the TBARS/total antioxidant capacity ratio increased in PreC (32%, 27%, 60%), as did plasma tumor necrosis factor α (4-fold) and WURSS-21 scores (25%). There were no significant changes in serum catalase, glutathione reductase, and superoxide dismutase activities nor in interleukin 1β and immunoglobulins. In PreC, POMS showed negative changes in vigor (–20%), fatigue (23%), and total mood disturbance (35%), and RESTQ-Sport showed alterations for general and sport stress (34% and 50%, respectively) and sport recovery (–23%). Thus, PreC negatively affects nutrient intake, which may worsen oxidative stress, inflammation, psychological status, and the severity of respiratory infections in bodybuilders.