The objective of this pilot study was to compare glucose concentrations in capillary blood (CB) samples analysed in a laboratory by a validated method and glucose concentrations measured in the interstitial fluid (ISF) by continuous glucose monitoring (CGM) under different physical activity levels in a postprandial state in healthy athletes without diabetes. As a physiological shift occurs between glucose concentration from the CB into the ISF, the applicability of CGM in sports, especially during exercise, as well as the comparability of CB and ISF data necessitate an in-depth assessment. Ten subjects (26 ± 4 years, 67 ± 11 kg bodyweight (BW), 11 ± 3 h) were included in the study. Within 14 days, they underwent six tests consisting of (a) two tests resting fasted (HC_Rest/Fast and LC_Rest/Fast), (b) two tests resting with intake of 1 g glucose/kg BW (HC_Rest/Glc and LC_Rest/Glc), (c) running for 60 min at moderate (ModExerc/Glc), and (d) high intensity after intake of 1 g glucose/kg BW (IntExerc/Glc). Data were collected in the morning, following a standardised dinner before test day. Sensor-based glucose concentrations were compared to those determined from capillary blood samples collected at the time of sensor-based analyses and subjected to laboratory glucose measurements. Pearson’s r correlation coefficient was highest for Rest/Glc (0.92, p < 0.001) compared to Rest/Fast (0.45, p < 0.001), ModExerc/Glc (0.60, p < 0.001) and IntExerc/Glc (0.70, p < 0.001). Mean absolute relative deviation (MARD) and standard deviation (SD) was smallest for resting fasted and similar between all other conditions (Rest/Fast: 8 ± 6%, Rest/Glc: 17 ± 12%, ModExerc/Glc: 22 ± 24%, IntExerc/Glc: 18 ± 17%). However, Bland–Altman plot analysis showed a higher range between lower and upper limits of agreement (95% confidence interval) of paired data under exercising compared to resting conditions. Under resting fasted conditions, both methods produce similar outcomes. Under resting postprandial and exercising conditions, respectively, there are differences between both methods. Based on the results of this study, the application of CGM in healthy athletes is not recommended without concomitant nutritional or medical advice.