To investigate the effect of iron liposome supplementation, a rat model of exercise-associated anemia was established by subjecting the animals to high-intensity running exercises for 4 weeks. Rats with confirmed anemia were strenuously exercised for another 2 weeks while receiving iron supplements by intragastric administration of ferric ammonium citrate (FAC) liposomes or heme iron liposomes. Control groups were administered equivalent amounts of FAC, heme iron, or blank liposomes. Subsequently, complete blood count (CBC), serum iron, and liver iron levels were tested to determine the efficiency of iron liposomes in relieving anemia. Superoxide dismutase (SOD) and malonyldialdehyde (MDA) were also detected to determine potential side effects of iron supplementation. The CBC, as well as serum iron and liver iron contents, significantly increased and reached much higher levels in anemic rats treated with iron liposomes, compared with those of control groups. The increase of SOD and decrease of MDA levels were also observed after supplementation with iron liposomes. These results demonstrate that iron liposomes can efficiently relieve the iron deficiency in strenuously exercised rats and may potentially be used as a supplement for the treatment of exercise-associated iron deficiency anemia with minimal side effects.