We studied the effects of ten-day 1% Galdieria sulphuraria dietary supplementation on oxidative damage and metabolic changes elicited by acute exercise (6-hour swimming) determining oxygen consumption, lipid hydroperoxides, protein bound carbonyls in rat tissue (liver, heart, and muscle) homogenates and mitochondria, tissue glutathione peroxidase and glutathione reductase activities, glutathione content, and rates of H2O2 mitochondrial release. Exercise increased oxidative damage in tissues and mitochondria and decreased tissue content of reduced glutathione. Moreover, it increased State 4 and decreased State 3 respiration in tissues and mitochondria. G. sulphuraria supplementation reduced the above exercise-induced variations. Conversely, alga supplementation was not able to modify the exercise-induced increase in mitochondrial release rate of hydrogen peroxide and in liver and heart antioxidant enzyme activities. The alga capacity to reduce lipid oxidative damage without reducing mitochondrial H2O2 release can be due to its high content of C-phycocyanin and glutathione, which are able to scavenge peroxyl radicals and contribute to phospholipid hydroperoxide metabolism, respectively. In conclusion, G. sulphuraria ability to reduce exercise-linked oxidative damage and mitochondrial dysfunction makes it potentially useful even in other conditions leading to oxidative stress, including hyperthyroidism, chronic inflammation, and ischemia/reperfusion.