Exercise-induced pulmonary hemorrhage (EIPH) is a condition affecting up to 95% of racehorses, diagnosed by detecting blood in the trachea after exercise and/or the presence of hemosiderophages in the bronchoalveolar lavage fluid (BALf). Although EIPH is commonly associated with poor performance, scientific evidence is scarce. The athletic capacity of racehorses can be quantified through some parameters obtained during an incremental treadmill test; in particular, the speed at a heart rate of 200 bpm (V200), and the speed (VLa4) and the heart rate (HRLa4) at which the blood lactate concentration reaches 4 mmol/L are considered good fitness indicators. The present retrospective study aims to evaluate whether EIPH could influence fitness parameters in poorly performing Standardbreds. For this purpose, data from 81 patients regarding their V200, VLa4, HRLa4, peak lactate, maximum speed, minimum pH, and maximum hematocrit were reviewed; EIPH scores were assigned based on tracheobronchoscopy and BALf cytology. The association between the fitness parameters and EIPH was evaluated through Spearman’s correlation analysis. No relationship between EIPH and V200, VLa4, and HRLa4 was observed. Interestingly, EIPH-positive horses showed higher hematocrit values (p = 0.0072, r = 0.47), suggesting the possible influence of the hemoconcentration on the increase of pulmonary capillary pressure as a part of the pathogenesis of EIPH.