Purpose: High intensity interval training (HIIT) has been proposed as a time-efficient format of exercise to reduce the chronic disease burden associated with sedentary behaviour. Changes in oxygen utilisation at the local tissue level during an acute session of HIIT could be the primary stimulus for the health benefits associated with this format of exercise. The recovery periods of HIIT effect the physiological responses that occur during the session. It was hypothesised that in sedentary individuals, local and systemic oxygen utilisation would be higher during HIIT interspersed with active recovery periods, when compared to passive recovery periods. Methods: Twelve sedentary males (mean ± SD; age 23 ± 3 yr) completed three conditions on a cycle ergometer: 1) HIIT with passive recovery periods between four bouts (HIITPASS) 2) HIIT with active recovery periods between four bouts (HIITACT) 3) HIITACT with four HIIT bouts replaced with passive periods (REC). Deoxygenated haemoglobin (HHb) in the vastus lateralis (VL) and gastrocnemius (GN) muscles and the pre-frontal cortex (FH), oxygen consumption (VO2), power output and heart rate (HR) were measured continuously during the three conditions. Results: There was a significant increase in HHb at VL during bouts 2 (p = 0.017), 3 (p = 0.035) and 4 (p = 0.035) in HIITACT, compared to HIITPASS. Mean power output was significantly lower in HIITACT, compared to HIITPASS (p < 0.001). There was a significant main effect for site in both HIITPASS (p = 0.029) and HIITACT (p = 0.005). There were no significant differences in VO2 and HR between HIITPASS and HIITACT. Conclusions: The increase in HHb at VL and the lower mean power output during HIITACT could indicate that a higher level of deoxygenation contributes to decreased mechanical power in sedentary participants. The significant differences in HHb between sites indicates the specificity of oxygen utilisation.