Background: In patients with idiopathic pulmonary fibrosis (IPF) with isolated exertional desaturation, there are limited data regarding the effectiveness of oxygen supplementation during exercise training; the underlying mechanisms that contribute to these responses are unknown. Objectives: To examine in these IPF patients the effects of oxygen supplementation during submaximal exercise (vs. medical air) on cerebral/skeletal muscle oxygenation and systemic hemodynamics. Methods: In this randomized, cross-over, placebo-controlled trial, IPF patients (n = 13; 63.4 ± 9.6 years) without resting hypoxemia but a significant desaturation during maximal cardiopulmonary exercise testing underwent 2 steady-state exercise trials (65% peak-work-load), breathing either oxygen-enriched or medical air. Cerebral/skeletal muscle oxygenation (near-infrared spectroscopy) and beat-by-beat hemodynamics (photoplethysmography) were monitored. Results: In the air protocol, from the initial minutes of submaximal exercise, patients exhibited a marked decline in cerebral oxygenated hemoglobin (O2Hb) and an abrupt rise in deoxygenated hemoglobin (HHb). Oxygen supplementation alleviated desaturation, lessened dyspnea, and prolonged exercise duration (p < 0.01). Oxygen supplementation during exercise (i) attenuated cerebral deoxygenation (cerebral-HHb: 0.7 ± 1.9 vs. 2.5 ± 1.5 $μ$mol/L, O2 and air protocol; p = 0.009) and prevented cerebral-Hbdifference decline (2.1 ± 2.7 vs. −1.7 ± 2.0 $μ$mol/L; p = 0.001), (ii) lessened the decline in muscle O2-saturation index, and (iii) at isotime exercise, it resulted in lower muscle-HHb (p = 0.05) and less leg fatigue (p < 0.05). No differences between protocols were observed in exercise cardiac output and vascular resistance. Conclusions: IPF patients with isolated exertional hypoxemia exhibit an inability to increase/maintain cerebral oxygenation during submaximal exercise. Correcting desaturation with O2 supplementation prevented the decline in brain oxygenation, improved muscle oxygenation, and lessened dyspnea, suggesting an efficacy of acute oxygen supplementation during exercise training in protecting brain hypoxia in these IPF patients.