This work introduces the concept of multi-analyte biomarkers for continuous metabolic monitoring. The importance of using more than one marker lies in the ability to obtain a holistic understanding of the metabolism. This is showcased for the detection and prediction of exhaustion during intense physical exercise. The findings presented here indicate that when glucose and lactate changes over time are combined into multi-analyte biomarkers, their monitoring trends are more sensitive in the subcutaneous tissue, an implantation-friendly peripheral tissue, compared to the blood. This unexpected observation was confirmed in normal as well as type 1 diabetic rats. This study was designed to be of direct value to continuous monitoring biosensor research, where single analytes are typically monitored. These findings can be implemented in new multi-analyte continuous monitoring technologies for more accurate insulin dosing, as well as for exhaustion prediction studies based on objective data rather than the subject’s perception.