Standard cardiopulmonary exercise testing (CPET) produces a rich dataset but its current analysis is often limited to a few derived variables such as maximal or peak oxygen uptake (V̇O2). We tested whether breath‐by‐breath CPET data could be used to determine sample entropy (SampEn) in 81 healthy children and adolescents (age 7–18 years old, equal sex distribution). To overcome challenges of the relatively small time‐series CPET data size and its nonstationarity, we developed a Python algorithm for short‐duration physiological signals. Comparing pre‐ and post‐ventilatory threshold (VT1) CPET phases, we found: (1) SampEn decreased by 9.46% for V̇O2 and 5.01% for V̇CO2 (p < 0.05), in the younger, early‐pubertal participants; and (2) HR SampEn fell substantially by 70.8% in the younger and 77.5% in the older participants (p < 0.001). Across all ages, females exhibited greater HR SampEn than males during both pre‐ and post VT1 CPET phases by 14.10% and 23.79%, respectively, p < 0.01. In females, late‐pubertal had 17.6% lower HR SampEn compared to early‐pubertal participants (p < 0.05). Breath‐by‐breath gas exchange and HR data from CPET are amenable to SampEn analysis that leads to novel insight into physiological responses to work intensity, and sex and maturational effects.