We tested the hypothesis that usual exercise oxidative stress strongly affects erythrocytes viability. A 120-min physical exercise with progressive intensity was used as a model of oxidative stress. FT-IR spectrometry was used to determine structural changes in erythrocyte contents (phospholipids, proteins, lactate, and glucose) from blood samples taken every 20 min. Carbonyl formation from amino acid residues (P = 0.03) and hemoglobin unfolding (P = 0.01) could be identified as main protein denaturation markers during oxidative stress. Higher unsaturation level (P = 0.001) in phospholipids fatty acyl chains were also observed while VO2 increased (P < 0.05). The increase in lactacidosis affected primarily hemoglobin unfolding (P = 0.02). Finally, two distinct cellular events occurred during oxidative stress: 1—phospholipids peroxidation correlated to VO2, but lactacidosis and hemoconcentration remained secondary factors; 2—hemoglobin denaturation was mainly observed through unfolding and carbonylation, and lactacidosis and hemoconcentration were important contributing factors.