Purpose: Premature birth induces long-term sequelae on the cardiopulmonary system, leading to reduced exercise capacity. However, the mechanisms of this functional impairment during incremental exercise remain unclear. Also, a blunted hypoxic ventilatory response was found in preterm adults, suggesting an increased risk for adverse effects of hypoxia in this population. This study aimed to investigate the oxygen cascade during incremental exercise to exhaustion in both normoxia and hypobaric hypoxia in prematurely born adults with normal lung function and their term born counterparts. Methods: Noninvasive measures of gas exchange, cardiac hemodynamics, and both muscle and cerebral oxygenation were continuously performed using metabolic cart, transthoracic impedance, and near-infrared spectroscopy, respectively, during an incremental exercise test to exhaustion performed at sea level and after 3 d of high-altitude exposure in healthy preterm (n = 17; gestational age, 29 ± 1 wk; normal lung function) and term born (n = 17) adults. Results: At peak, power output, oxygen uptake, stroke volume indexed for body surface area, and cardiac output were lower in preterm compared with term born in normoxia (P = 0.042, P = 0.027, P = 0.030, and P = 0.018, respectively) but not in hypoxia, whereas pulmonary ventilation, peripheral oxygen saturation, and muscle and cerebral oxygenation were similar between groups. These later parameters were modified by hypoxia (P < 0.001). Hypoxia increased muscle oxygen extraction at submaximal and maximal intensity in term born (P < 0.05) but not in preterm participants. Hypoxia decreased cerebral oxygen saturation in term born but not in preterm adults at rest and during exercise (P < 0.05). Convective oxygen delivery was decreased by hypoxia in term born (P < 0.001) but not preterm adults, whereas diffusive oxygen transport decreased similarly in both groups (P < 0.001 and P < 0.001, respectively). Conclusions: These results suggest that exercise capacity in preterm is primarily reduced by impaired convective, rather than diffusive, oxygen transport. Moreover, healthy preterm adults may experience blunted hypoxia-induced impairments during maximal exercise compared with their term counterparts.