Maximal values of aerobic power (VO2max) and peripheral oxygen saturation (SpO2max) decline in parallel with gain in altitude. Whereas this relationship has been well investigated when acutely exposed to high altitude, potential benefits of acclimatization on SpO2 and related VO2max in healthy and diseased individuals have been much less considered. Therefore, this narrative review was primarily aimed to identify relevant literature reporting altitude-dependent changes in determinants, in particular SpO2, of VO2max and effects of acclimatization in athletes, healthy non-athletes, and patients suffering from cardiovascular, respiratory and/or metabolic diseases. Moreover, focus was set on potential differences with regard to baseline exercise performance, age and sex. Main findings of this review emphasize the close association between individual SpO2 and VO2max, and demonstrate similar altitude effects (acute and during acclimatization) in healthy people and those suffering from cardiovascular and metabolic diseases. However, in patients with ventilatory constrains, i.e., chronic obstructive pulmonary disease, steep decline in SpO2 and V̇O2max and reduced potential to acclimatize stress the already low exercise performance. Finally, implications for prevention and therapy are briefly discussed.