Background: Despite numerous data on whole-body responses, we have less information about local muscular changes during physical exercise in athletes. Oxygen saturation (SmO₂) changes in the working muscles follow phases of load and are useful, as local metabolism could influence physical fitness. Methods: A total of 100 asymptomatic elite water polo players (63% male, age: 17.2 (interquartile range: 16.1–18.9) years) were examined using near-infrared spectroscopy to measure SmO₂ in both vastus lateralis and left deltoid muscles during continuous uphill running treadmill exercise. Results: Differences were observed between upper and averaged lower limb resting SmO₂ (82.1% (77.0–89.0%) vs. 68.3% (59.2–73.6%), p < 0.001). During exercise, the relative decrease in averaged lower limb SmO₂ was greater compared to the upper limb at the anaerobic threshold (−0.371 (−0.539–−0.200) vs. –0.224 (−0.340–−0.099), p < 0.001) and at maximal exercise (−0.557 (−0.750–−0.411) vs. –0.420 (−0.556–−0.271), p < 0.001). Higher averaged lower limb relative SmO₂ was recorded compared to the upper limb after 5 min cool-down (+0.081% (−0.046–+0.195%) vs. –0.047% (−0.140–+0.000), p < 0.001). No differences were found between males and females in resting lower limb SmO₂. Both sexes showed a monotonic decrease in SmO₂ during exercise, with differences in the relative values at the anaerobic threshold and at maximal intensity. Females exhibited a rebound in SmO₂ after a 5 min cool-down. Conclusions: We provide insights into SmO₂ alterations during maximal-intensity exercise and recovery through the measurements of elite water polo athletes, also highlighting sex differences in SmO₂. Measuring local SmO₂ changes is a promising additional method in physical fitness follow-up.