Continuous monitoring of metabolites in exhaled breath has recently been introduced as an advanced method to allow non-invasive real-time monitoring of metabolite shifts during rest and acute exercise bouts. The purpose of this study was to continuously measure metabolites in exhaled breath samples during a graded cycle ergometry cardiopulmonary exercise test (CPET), using secondary electrospray high resolution mass spectrometry (SESI-HRMS). We also sought to advance the research area of exercise metabolomics by comparing metabolite shifts in exhaled breath samples with recently published data on plasma metabolite shifts during CPET. We measured exhaled metabolites using SESI-HRMS during spiroergometry (ramp protocol) on a bicycle ergometer. Real time monitoring through gas analysis enabled us to collect high-resolution data on metabolite shifts from rest to voluntary exhaustion. Thirteen subjects participated in this study (7 female). Median age was 30 years and median peak oxygen uptake (VO2max) was 50 mL/min/kg. Significant changes in metabolites (n = 33) from several metabolic pathways occurred during the incremental exercise bout. Decreases in exhaled breath metabolites were measured in glyoxylate and dicarboxylate, tricarboxylic acid cycle (TCA), and tryptophan metabolic pathways during graded exercise. This exploratory study showed that selected metabolite shifts could be monitored continuously and non-invasively through exhaled breath, using SESI-HRMS. Future studies should focus on the best types of metabolites to monitor from exhaled breath during exercise and related sources and underlying mechanisms.