Background: Cordyceps militaris (C. militaris, CM) is a fungus with a long history and is widely used in folk medicine. The present study aimed to examine the effects of a two-week CM supplementation on lipid peroxidation and muscle damage after exhaustion exercise. Methods: Eight healthy men completed a double-blind, crossover trial, receiving either CM or a placebo for two weeks. After two weeks of supplementation, they performed an acute exhaustion exercise test at 80% VO₂max, with the treadmill exhaustion time recorded. Blood samples were collected before and after the exhaustion test to measure the biomarkers of lipid peroxidation, creatine kinase, and fatigue-related biochemical markers (glucose, lactate, ammonia). Results: Our results showed no significant increase in treadmill exhaustion time with CM supplementation compared to the placebo trial. However, the MDA levels were significantly lower following the exercise challenge in the CM trial (p < 0.05), which reflects the effect of Cordyceps militaris in preventing lipid peroxidation induced by exhaustive exercise. However, there were no significant differences in fatigue-related biochemical markers or muscle damage biomarkers between the CM and placebo trials. Conclusions: Based on the markers used in the present study, our results indicate that two weeks of CM supplementation may potentially prevent exercise-induced lipid peroxidation, but do not appear to influence muscle damage and fatigue-related biochemistry.