α-Lipoic acid (ALA) is a vitamin-like substance that is an indispensable supporting factor for a large number of enzymes. Due to its optical activity, ALA has optical isomers RALA and SALA. The major role of RALA is in energy metabolism. However, RALA cannot be used as a pharmaceutical or nutraceutical because it is sensitive to heat and acid conditions. Previous studies have shown that RALA complexed with γ-cyclodextrin (CD) has a higher antioxidant capacity than that of free RALA. The antioxidant enzyme system protects against intense exercise-induced oxidative damage and is related to the physical status of athletes. The aim of this study was to examine the effect of CD/RALA complex supplementation on antioxidant activity and performance during high-intensity exercise. Twenty-four male C3H/HeSlc mice were divided into four groups (n = 6): swimming+distilled water administration (C), swimming+CD/RALA supplementation (CD/RALA), swimming+RALA suplementation (RALA), and swimming+CD supplementation (CD). Blood ammonia elevation due to exercise stress was repressed by CD/RALA supplementation. The oxidative stress in the kidney increased after exercise and was reduced by CD/RALA supplementation. Our findings suggest that CD/RALA supplementation may be useful for improving the exercise performance in athletes.