Astaxanthin (ASTA) is a pinkish-orange carotenoid commonly found in marine organisms, especially salmon. ASTA is a powerful antioxidant and suggested to provide benefits for human health, including the inhibition of LDL oxidation, UV-photoprotection, and prophylaxis of bacterial stomach ulcers. Exercise is associated to overproduction of free radicals in muscles and plasma, with pivotal participation of iron ions and glutathione (GSH). Thus, ASTA was studied here as an auxiliary supplement to improve antioxidant defenses in soleus muscles and plasma against oxidative damage induced by exhaustive exercise. Long-term 1 mg ASTA/kg body weight (BW) supplementation in Wistar rats (for 45 days) significantly delayed time to exhaustion by 29% in a swimming test. ASTA supplementation increased scavenging/iron-chelating capacities (TEAC/FRAP) and limited exercise-induced iron overload and its related pro-oxidant effects in plasma of exercising animals. On the other hand, ASTA induced significant mitochondrial Mn-dependent superoxide dismutase and cytosolic glutathione peroxidase antioxidant responses in soleus muscles that, in turn, increased GSH content during exercise, limited oxidative stress, and delayed exhaustion. We also provided significant discussion about a putative "mitochondrial-targeted" action of ASTA based on previous publications and on the positive results found in the highly mitochondrial populated (oxidative-type) soleus muscles here.