The long-term benefits conferred by cardiac rehabilitation (CR) in those with coronary artery disease (CAD) are strongly linked with an improvement in cardiopulmonary fitness. This study aimed to determine the association between peripheral sphingolipids and cardiopulmonary fitness in CAD subjects undertaking CR. Patients with CAD (n = 100, mean age = 64 ± 6 years, 85% male, mean years of education = 17 ± 3 years) underwent 6 months of CR with blood collected at baseline, 3 and 6 months. Cardiopulmonary fitness was assessed by measuring peak oxygen uptake (VO2peak) at all time points. High performance liquid chromatography coupled electrospray ionization tandem mass spectrometry was used to quantify plasma sphingolipid concentrations. Cross-sectional and longitudinal associations between sphingolipids and VO2peak were assessed using linear regressions and mixed models, respectively. Higher concentrations of sphingomyelin C18:1 (β = −0.26, p = .01), ceramides C16:0 (β = −0.24, p = .02), C18:0 (β = −0.29, p = .002), C20:0 (β = −0.24, p = .02) and C24:1 (β = −0.24, p = .01) and monohexylceramide C18:0 (β = −0.23, p = .02) were associated with poorer VO2peak at baseline. An improvement in VO2peak was associated with a decrease in sphingomyelin C18:1 (b = −10.09, p = .006), ceramides C16:0 (b = −9.25, p = .0003), C18:0 (b = −5.44, p = .0003) and C24:1 (b = −2.46, p = .006) and monohexylceramide C18:0 (b = −5.37, p = .005). Specific long chain sphingolipids may be useful markers of fitness and response to exercise in CAD.