(1) Background: The aim of this study was to assess the impact of multi-strain probiotic supplementation on the physical capacity and selected health indicators related to the exercise capacity of competitive road cyclists such as body composition, markers of intestinal permeability, pro- and anti-inflammatory markers, and anti-/pro-oxidant potential. (2) Methods: The group comprised 26 competitive road cyclists aged between 18 and 26. The study was a 4-month double-blind, random-assignment, parallel-group, and placebo-controlled trial. The measurements of physical capacity in the exercise tests of the anaerobic Wingate test (the level of total work volume, maximal anaerobic power, average power per revolution, mean time to achieve maximal anaerobic power, and time to maintain maximal anaerobic power) and the aerobic test using a cycle ergometer (maximum oxygen uptake, exercise duration, maximum load power, and maximal heart rate) were repeated after one, three, and four months. (3) Results: The probiotic supplementation resulted in increased levels of the relative magnitude of maximal oxygen uptake (65.28 vs. 69.18), the duration of training until failure (14.35 vs. 15.65), the load on the ergometer (5.11 vs. 5.36), and the degree of decrease in heart rate (193.3 vs. 188.6) together with a feeling of less discomfort during the exercise test (Borg scale) (19.38 vs. 18.43), confirming the beneficial effect of probiotics on the cyclists’ aerobic capacity during exercise. The probiotic supplementation produces no effects on the anaerobic capacity and body composition of the athletes, except for an observed increase in muscle mass. The concentration of zonulin in the stool mass decreased as a result of the probiotic therapy (81.2 vs. 25.21), and α1-atitrypsin was maintained at a similar level during the experiment (0.95 vs. 1.05), indicating a sealing of the intestinal barrier and beneficial changes in the cyclists’ intestinal function. The supplementation resulted in a reduction in the concentrations of: tumor necrosis factor TNF-α after the aerobic (13.88 vs. 9.75) and anaerobic tests (8.54 vs. 6.8), IL-6 before (1.2 vs. 0.86) and after the anaerobic test (1.47 vs. 0.97), IL-10 before the anaerobic test (0.70 vs. 0.44), and the total oxidative status (TOS) of the blood plasma before (663.7 vs. 484.6) and after the anaerobic test (643.1 vs. 435.9). (4) Conclusions: The probiotic supplementation resulted in increased levels of the cyclists’ aerobic capacity and their maintenance of anaerobic capacity and positively affected selected health indicators related to the exercise capacity of competitive road cyclists.