Key points Endurance trained athletes exhibit enhanced cardiovascular function compared to non‐athletes, although it is considered that exercise training does not enhance lung structure and function. An increased pulmonary capillary blood volume at rest is associated with a higher V̇O2 max . In the present study, we compared the diffusion capacity, pulmonary capillary blood volume and diffusing membrane capacity responses to exercise in endurance‐trained males compared to non‐trained males. Exercise diffusion capacity was greater in athletes, secondary to an increased membrane diffusing capacity, and not pulmonary capillary blood volume. Endurance‐trained athletes appear to have differences within the pulmonary membrane that facilitate the increased O2 demand needed for high‐level exercise. Abstract Endurance‐trained athletes exhibit enhanced cardiovascular function compared to non‐athletes, allthough it is generally accepted that exercise training does not enhance lung structure and function. Recent work has shown that an increased resting pulmonary capillary blood volume (VC) is associated with a higher maximum oxygen consumption (V̇O2 max ), although there have been no studies to date examining how aerobic fitness affects the VC response to exercise. Based on previous work, we hypothesized that endurance‐trained athletes will have greater VC compared to non‐athletes during cycling exercise. Fifteen endurance‐trained athletes (HI: V̇O2 max 64.6 ± 1.8 ml kg−1 min−1) and 14 non‐endurance trained males (LO: V̇O2 max 45.0 ± 1.2 ml kg−1 min−1) were matched for age and height. Haemoglobin‐corrected diffusion capacity (DLCO), VC and diffusing membrane capacity (DM) were determined using the Roughton and Forster () multiple fraction of inspired O2 (FIO2)‐DLCO method at baseline and during incremental cycle exercise up to 90% of peak O2 consumption. During exercise, both groups exhibited increases in DLCO, DM and VC with exercise intensity. Athletes had a greater DLCO and greater DM at 80 and 90% of V̇O2 max compared to non‐athletes. However, VC was not different between groups during exercise. In contrast to our hypothesis, exercise VC was not greater in endurance‐trained subjects compared to controls; rather, the increased DLCO in athletes at peak exercise was secondary to an enhanced DM. These findings suggest that endurance‐trained athletes appear to have differences within the pulmonary membrane that facilitate the increased O2 demand needed for high‐level exercise.