Background: Endothelial dysfunction has been proposed as the common pathogenic background of most manifestations of coronavirus disease 2019 (COVID-19). Among these, some authors also reported an impaired exercise response during cardiopulmonary exercise testing (CPET). We aimed to explore the potential association between endothelial dysfunction and the reduced CPET performance in COVID-19 survivors. Methods: 36 consecutive COVID-19 survivors underwent symptom-limited incremental CPET and assessment of endothelium-dependent flow-mediate dilation (FMD) according to standardized protocols. Results: A significantly higher FMD was documented in patients with a preserved, as compared to those with a reduced, exercise capacity (4.11% ± 2.08 vs. 2.54% ± 1.85, p = 0.048), confirmed in a multivariate analysis (β = 0.899, p = 0.038). In the overall study population, FMD values showed a significant Pearson’s correlation with two primary CPET parameters, namely ventilation/carbon dioxide production (VE/VCO2) slope (r = −0.371, p = 0.026) and end-tidal carbon dioxide tension (PETCO2) at peak (r = 0.439, p = 0.007). In multiple linear regressions, FMD was the only independent predictor of VE/VCO2 slope (β = −1.308, p = 0.029) and peak PETCO2 values (β = 0.779, p = 0.021). Accordingly, when stratifying our study population based on their ventilatory efficiency, patients with a ventilatory class III-IV (VE/VCO2 slope ≥ 36) exhibited significantly lower FMD values as compared to those with a ventilatory class I-II. Conclusions: The alteration of endothelial barrier properties in systemic and pulmonary circulation may represent a key pathogenic mechanism of the reduced CPET performance in COVID-19 survivors. Personalized pharmacological and rehabilitation strategies targeting endothelial function may represent an attractive therapeutic option.