Docosahexaenoic acid (DHA) supplementation can reduce exercise-induced oxidative stress generated during long aerobic exercise, with the minimum dose yet to be elucidated for physically active subjects. In this study, we performed a dose finding with re-esterified DHA in triglyceride form in a randomized double-blind parallel trial at different doses (350, 1050, 1750, and 2450 mg a day) for 4 weeks in males engaged in regular cycling (n = 100, 7.6 ± 3.7 h/week). The endogenous antioxidant capacity of DHA was quantified as a reduction in the levels of the oxidative stress marker 8-hydroxy-2′-deoxyguanosine (8-OHdG) recollected in 24-h urine samples after 90 min of constant load cycling before and after intervention. To ascertain incorporation of DHA, erythrocyte polyunsaturated fatty acid (PUFA) composition was compared along groups. We found a dose-dependent antioxidant capacity of DHA from 1050 mg with a trend to neutralization for the highest dose of 2450 mg (placebo: n = 13, F = 0.041; 350 mg: n = 10, F = 0.268; 1050 mg: n = 11, F = 7.112; 1750 mg: n = 12, F = 9.681; 2450 mg: n = 10, F = 15.230). In the erythrocyte membrane, the re-esterified DHA increased DHA and omega-3 percentage and decreased omega 6 and the omega-6 to omega-3 ratio, while Eicosapentaenoic acid (EPA) and PUFA remained unchanged. Supplementation of re-esterified DHA exerts a dose-dependent endogenous antioxidant property against moderate-intensity long-duration aerobic exercise in physically active subjects when provided at least 1050 mg a day for 4 weeks.