In this review, we present the relation between power generation capabilities and pulmonary oxygen uptake during incremental cycling exercise in humans and the effect of exercise intensity on the oxygen cost of work. We also discuss the importance of oxygen delivery to the working muscles as a factor determining maximal oxygen uptake in humans. Subsequently, we outline the importance of coronary blood flow, myocardial oxygen uptake and myocardial metabolic stability for exercise tolerance. Finally, we describe mechanisms of endothelium-dependent regulation of coronary and skeletal muscle blood flow, dysregulation of which may impair exercise capacity and increase the cardiovascular risk of exercise.