Cardiopulmonary exercise testing (CPET) is the method of choice to assess aerobic fitness. Previous research was ambiguous as to whether treadmill (TE) and cycle ergometry (CE) results are transferrable or different between testing modalities in triathletes. The aim of this paper was to investigate the differences in HR and VO2 at maximum exertion between TE and CE, at anaerobic threshold (AT) and respiratory compensation point (RCP) and evaluate their association with body fat (BF), fat-free mass (FFM) and body mass index (BMI). In total, 143 adult (n = 18 female), Caucasian triathletes had both Tr and CE CPET performed. The male group was divided into <40 years (n = 80) and >40 years (n = 45). Females were aged between 18 and 46 years. Body composition was measured with bioelectrical impedance before tests. Differences were evaluated using paired t-tests, and associations were evaluated in males using multiple linear regression (MLR). Significant differences were found in VO2 and HR at maximum exertion, at AT and at RCP between CE and TE testing, in both males and females. VO2AT was 38.8 (±4.6) mL/kg/min in TE vs. 32.8 (±5.4) in CE in males and 36.0 (±3.6) vs. 32.1 (±3.8) in females (p < 0.001). HRAT was 149 (±10) bpm in TE vs. 136 (±11) in CE in males and 156 (±7) vs. 146 (±11) in females (p < 0.001). VO2max was 52 (±6) mL/kg/min vs. 49 (±7) in CE in males and 45.3 (±4.9) in Tr vs. 43.9 (±5.2) in females (p < 0.001). HRmax was 183 (±10) bpm in TE vs. 177 (±10) in CE in males and 183 (±9) vs. 179 (±10) in females (p < 0.001). MLR showed that BMI, BF and FFM are significantly associated with differences in HR and VO2 at maximum, AT and RCP in males aged >40. Both tests should be used independently to achieve optimal fitness assessments and further training planning.