Hypoxia with exercise is commonly used to enhance physiological adaptation in athletes, but may prolong recovery between training bouts. To investigate this, heart rate variability (HRV), systemic immune response, and response to an orthostatic challenge were measured following exercise in hypoxia and air. Eleven trained men performed a 10-km cycling time trial breathing hypoxia (16.5 ± 0.5% O2) or air. HRV and the heart rate response to an orthostatic challenge were measured for 3 days before and after each trial, while venous blood samples were collected pre-, 0, 2, and 24 h post-exercise. Hypoxia had no significant effect compared with air. Subgroup analysis of those who had a drop in oxyhemoglobin saturation (SpO2) > 10% between hypoxia and air compared with those who did not, demonstrated a significantly altered HRV response (△HFnu: −2.1 ± 0.9 vs 8.6 ± 9.3, △LFnu: 2.1 ± 1.0 vs −8.6 ± 9.4) at 24 h post-exercise and increased circulating monocytes (1.3 ± 0.2 vs 0.8 ± 0.2 × 109/L) immediately post-hypoxic exercise. Exercise and hypoxia did not change HRV or the systemic immune response to exercise. However, those who had a greater desaturation during hypoxic exercise had an attenuate recovery 24 h post-exercise and may be more susceptible to accumulating fatigue with subsequent training bouts.