The progression of climate warming will expose ectotherms to transient heatwave events and temperatures above their tolerance range at increased frequencies. It is therefore pivotal that we understand species' physiological limits and the capacity for various controls to plastically alter these thresholds. Exercise training could have beneficial impacts on organismal heat tolerance through improvements in cardio-respiratory capacity, but this remains unexplored. Using juvenile Chinook salmon (Oncorhynchus tshawytscha), we tested the hypothesis that exercise training improves heat tolerance through enhancements in oxygen-carrying capacity. Fish were trained once daily at 60% of their maximum sustainable swim speed, UCRIT, for 60 min. Tolerance to acute warming was assessed following three weeks of exercise training, measured as the critical thermal maximum (CTMAX). CTMAX measurements were coupled with examinations of the oxygen carrying capacity (haematocrit, haemoglobin concentration, relative ventricle size, and relative splenic mass) as critical components of the oxygen transport cascade in fish. Contrary to our hypothesis, we found that exercise training did not raise the CTMAX of juvenile Chinook salmon with a mean CTMAX increase of just 0.35 °C compared to unexercised control fish. Training also failed to improve the oxygen carrying capacity of fish. Exercise training remains a novel strategy against acute warming that requires substantial fine-tuning before it can be applied to the management of commercial and wild fishes.