(1) Background: Years of research have identified ischemic preconditioning (IPC) as a crucial endogenous protective mechanism against myocardial ischemia–reperfusion injury, enhancing the myocardial cell’s tolerance to subsequent ischemic damage. High-intensity interval training (HIIT) is promoted by athletes because it reduces exercise duration and improves metabolic response and cardiopulmonary function. Our objective was to evaluate and compare whether HIIT and IPC could reduce myocardial ischemia and reperfusion injury in rats. (2) Methods: Male Sprague-Dawley rats were divided into four groups: sham surgery, coronary artery occlusion (CAO), high-intensity interval training (HIIT), and ischemic preconditioning (IPC). The CAO, HIIT, and IPC groups experienced 40 min of coronary artery occlusion followed by 3 h of reperfusion to induce myocardial ischemia–reperfusion injury. Subsequently, the rats were sacrificed, and blood samples along with cardiac tissues were examined. The HIIT group received 4 weeks of training before surgery, and the IPC group underwent preconditioning before the ischemia–reperfusion procedure. (3) Results: The HIIT and IPC interventions significantly reduced the extent of the myocardial infarction size and the levels of serum troponin I and lactate dehydrogenase. Through these two interventions, serum pro-inflammatory cytokines, including TNF-α, IL-1β, and IL-6, were significantly decreased, while the anti-inflammatory cytokine IL-10 was increased. Furthermore, the expression of pro-apoptotic proteins PTEN, caspase-3, TNF-α, and Bax in the myocardium was reduced, and the expression of anti-apoptotic B-cell lymphoma 2 (Bcl-2) was increased, ultimately reducing cellular apoptosis in the myocardium. In conclusion, both HIIT and IPC demonstrated effective strategies with potential for mitigating myocardial ischemia–reperfusion injury for the heart.