Maximal oxygen uptake ($\dot{V}{O}_{2}max$), ventilatory threshold (VT) and respiratory compensation point (RCP) can be used to monitor the training intensity and the race strategy, and the elucidation of the specificities existing between the sexes can be interesting for coaches and athletes. The aim of the study was to compare ventilatory threshold (VT), respiratory compensation point (RCP), and the percentage of the maximal aerobic speed (MAS) that can be maintained in a triathlon race between sexes. Forty-one triathletes (22 men and 19 women), 42.1 ± 8.4 (26 to 60) years old, that raced the same Olympic triathlon underwent a cardiorespiratory maximal treadmill test to assess their VT, RPC, and MAS, and race speed. The maximal oxygen uptake ($\dot{V}{O}_{2}max$) (54.0 ± 5.1 vs. 49.8 ± 7.7 mL/kg/min, p < 0.001) and MAS (17 ± 2 vs. 15 ± 2 km/h, p = 0.001) were significantly higher in male than in female athletes. Conversely, there were no sex differences according to the percentage of $\dot{V}{O}_{2}max$ reached at VT (74.4 ± 4.9 vs. 76.1 ± 5.4%, p = 0.298) and RCP (89.9 ± 3.6 vs. 90.6 ± 4.0%, p = 0.560). The mean speed during the race did not differ between sexes (12.1 ± 1.7 km/h and 11.7 ± 1.8 km/h, p = 0.506, respectively). Finally, men performed the running split at a lower percentage of speed at RCP than women (84.0 ± 8.7 vs. 91.2 ± 7.0%, respectively, p = 0.005). Therefore, male and female athletes accomplished the running split in an Olympic triathlon distance at distinct relative intensities, as female athletes run at a higher RCP percentage.