The myths surrounding women’s participation in sport have been reflected in respiratory physiology. This study aims to demonstrate that continuous monitoring of blood oxygen saturation during a maximal exercise test in female athletes is highly correlated with the determination of the second ventilatory threshold (VT2) or anaerobic threshold (AnT). The measurements were performed using a pulse oximeter during a maximum effort test on a treadmill on a population of 27 healthy female athletes. A common behavior of the oxygen saturation evolution during the incremental exercise test characterized by a decrease in saturation before the aerobic threshold (AeT) followed by a second significant drop was observed. Decreases in peripheral oxygen saturation during physical exertion have been related to the athlete’s physical fitness condition. However, this drop should not be a limiting factor in women’s physical performance. We found statistically significant correlations between the maximum oxygen uptake and the appearance of the ventilatory thresholds (VT1 and VT2), the desaturation time, the total test time, and between the desaturation time and the VT2. We observed a relationship between the desaturation time and the VT2 appearance. Indeed, a linear regression model between the desaturation time and the VT2 appearance can predict 80% of the values in our sample. Besides, we suggest that pulse oximetry is a simple, fairly accurate, and non-invasive technique for studying the physical condition of athletes who perform physical exertion.