The current study aimed to investigate the effect of exercise combined with undenatured type II collagen (UCII) administration on endurance capacity, lipid metabolism, inflammation, and antioxidant status in rats. Twenty-one male Wistar albino rats were divided into three groups as follows: (1) Sedentary control, (2) Exercise (E), (3) Exercise + UCII (4 mg/kg BW/day; E + UCII). The findings showed that the exhaustive running time in the UCII group was significantly prolonged compared to that of the non-supplemented group (p < 0.001). When compared to the control group, total serum cholesterol (TC, p < 0.05) and triglyceride (TG, p < 0.05) levels decreased, while creatinine kinase (CK) levels increased in the E group (p < 0.001). Serum creatinine kinase levels were reduced in the E + UCII group compared to the E group (p < 0.01). Serum lactate, myoglobin (p < 0.01), and osteocalcin levels (p < 0.01) increased significantly in exercised rats compared to sedentary control rats, while serum lactate (p < 0.01) and myoglobin (p < 0.0001) levels decreased in the E + UCII group compared to control. Additionally, UCII supplementation caused significant increases in antioxidant enzyme activities [SOD (p < 0.01) and GSH-Px (p < 0.05)] and decreases in malondialdehyde (MDA) and tumor necrosis factor (TNF-α) levels (p < 0.001). Muscle lipogenic protein (SREBP-1c, ACLY, LXR, and FAS) levels were lower in the E + UCII group than in other groups. In addition, UCII supplementation decreased muscle MAFbx, MuRF-1, myostatin and increased MyoD levels in exercised rats. Moreover, the E + UCII group had lower muscle inflammatory markers [TNF-α (p < 0.0001) and IL-1β (p < 0.01)] than the control group. These results suggest exercise combined with UCII (4 mg/kg BW/day) modulates lipid, muscle, and antioxidant status in rats.