Respiratory muscle training (RMT) improves physical performance, although it is still debated whether this effect depends on the type of training. The purpose of this study was to compare the effects of two different types of RMT, i.e., voluntary isocapnic hyperpnea (VIH) and inspiratory threshold loading (ITL), on the deoxygenation of intercostal (ΔSmO₂-m. intercostales) and vastus lateralis (ΔSmO₂-m. vastus lateralis) muscles during exercise. Twenty-four participants performed eight weeks of RMT by: (i) VIH (3 days·week⁻¹ for 12 min at 60% maximal voluntary ventilation) or (ii) ITL (5 sets·week⁻¹ of 30 breaths·minute⁻¹ at 60% maximal inspiratory pressure). Cardiopulmonary exercise testing (CPET) included ΔSmO₂ (the change from baseline to end of test) of intercostal and vastus lateralis muscles. After RMT, both groups showed decreased ΔSmO₂-m. intercostales (VIH = 12.8 ± 14.6%, p = 0.04 (effect size, ES = 0.59), and ITL = 8.4 ± 9.8%, p = 0.04 (ES = 0.48)), without a coincident change of ∆SmO_2-m. vastus lateralis. ITL training induced higher $\dot{V}$O_2-peak absolute values than VIH (mean Δ post–pre, ITL = 229 ± 254 mL·min⁻¹ [95% CI 67–391] vs. VIH, 39 ± 153 mL·min⁻¹ [95% CI −58–136.0], p = 0.01). In conclusion, both RMT improved the balance between supply and oxygen consumption levels of m. intercostales during CPET, with ITL also inducing an increase of aerobic capacity.