Background: (1) Sleep disorders are prevalent in coronary artery disease (CAD) patients and predict cardiac events and prognosis. While increased oxidative stress (OS) has been associated with sleep disorders, less is known about its relationship with sleep quality. Similarly, little is known of how this relationship might change with exercise, which can improve sleep quality. Factors of sleep quality, such as sleep duration and disturbances, are also important as they predict cardiovascular diseases better than a global score alone. This study investigated whether OS was associated with self-rated sleep quality and its factors before and after completing a 24-week exercise intervention. (2) Methods: CAD patients undergoing an exercise program were recruited. OS was measured at baseline by the concentrations of early- (lipid hydroperoxides, LPH) and late-stage (8-isoprostane, 8-ISO) lipid peroxidation products and their ratio. Sleep quality was measured by the self-reported Pittsburgh Sleep Quality Index (PSQI) instrument at baseline and termination. Three sleep factors - perceived sleep quality, sleep efficiency, and daily disturbances - were derived from the PSQI. (3) Results: Among CAD patients (n = 113, 85.0% male, age = 63.7 ± 6.4 years, global PSQI = 5.8 ± 4.0), those with poor sleep (PSQI ≥ 5) had higher baseline 8-ISO levels (F(1,111) = 6.212, p = 0.014, ηp2 = 0.053) compared to those with normal sleep. Concentrations of LPH (F(1,105) = 0.569, p = 0.453, ηp2 = 0.005) and 8-ISO/LPH ratios (F(1,105) = 2.173, p = 0.143, ηp2 = 0.020) did not differ between those with poor sleep and normal sleep. Among factors, perceived sleep quality was associated with 8-ISO and 8-ISO/LPH, and daily disturbances were associated with 8-ISO. (4) Conclusions: A marker of late-stage lipid peroxidation is elevated in CAD patients with poor sleep and associated with daily disturbances, but not with other factors or with sleep quality and its factors after exercise intervention.