Prolonged strenuous exercise induces oxidative stress, leading to oxidative damage, skeletal muscle fatigue, and reduced exercise performance. The body compensates for oxidative stress through antioxidant actions, while related enzymes alone may not overcome excessive oxidative stress during prolonged strenuous exercise. Phycocyanin is an important antioxidant supplement derived from blue-green algae, which may be helpful in this type of situation. This study determined the effects of phycocyanin on exercise performance from prolonged strenuous exercise. Forty Sprague Dawley male rats were divided into 5 groups (n = 8 /group); Control group (C), Exercise group (E), and Exercise with supplement groups receiving low dose (Phycocyanin = 100 mg/kg BW; ELP) and high dose (Phycocyanin = 200 mg/kg BW; EHP) or vitamin C (Vitamin C = 200 mg/kg BW; VC). Phycocyanin was found to decrease oxidative damage markers, muscle fatigue, and muscle atrophy through the activated AKT/mTOR pathway. This was also found to have greater increases in antioxidants via Nrf2 signaling and increases ATP synthesis, GLUT4 transporters, and insulin signaling due to increased IRS-1/AKT signaling. In conclusion, phycocyanin was found to reduce oxidative damage and muscle atrophy, including an increase in insulin signaling in skeletal muscles leading to increased exercise performance in rats.