During exercise, increased oxygen consumption results in elevated production of reactive oxygen species (ROS). If the antioxidant system is unable to counteract this surge in ROS, oxidative stress occurs. Physical activity modulates both the generation and clearance of ROS through dynamic interactions between metabolic and antioxidant systems, and also influences the oxidative burst activity of phagocytes, a key component of the innate immune response. To investigate the acute physiological responses to high-intensity interval training (HIIT), we assessed the effects of a single HIIT session on oxidative stress markers and the oxidative burst activity of phagocytes in young professional athletes and non-athlete individuals. Blood samples were collected before and after a HIIT session from eleven male athletes (mean age: 22.1 ± 4.5 years) and ten male non-athlete university students (mean age: 21.6 ± 2.3 years). Participants performed a single treadmill HIIT session of ten 45-s intervals at 75–85% of heart rate reserve, separated by 45-s low-intensity recovery periods, with target intensities individualized using the Karvonen formula. Total antioxidant capacity, activities of catalase, superoxide dismutase and glutathione peroxidase enzymes, total serum nitrite/nitrate levels, lipid peroxidation products, and oxidative burst activity of phagocytes were evaluated before and after exercise. In athletes, a significant increase was observed in the activity of superoxide dismutase (from a median of 2.09 to 2.21 U/mL; p = 0.037) and catalase (from a median of 32.94 to 45.45 nmol/min/mL; p = 0.034) after exercise, whereas no significant changes were found in the control group. Total serum nitrite/nitrate levels significantly increased in both groups after exercise (athletes: from a median of 8.70 to 9.95 µM; p = 0.029; controls: from a median of 10.20 to 11.50 µM; p = 0.016). Oxidative burst capacity of peripheral blood phagocytes was significantly higher in athletes both before (median: 10,422 vs. 6766; p = 0.029) and after (median: 9365 vs. 7370; p = 0.047) the HIIT session compared to controls. Our findings demonstrate that training status markedly influences oxidative stress responses, with athletes exhibiting more effective long-term antioxidant adaptations. These results emphasize the necessity of tailoring exercise regimens to baseline fitness levels in order to optimize oxidative stress management across different populations.