Evolutionary physiology strives to understand how the function and integration of physiological systems influence the way in which organisms evolve. Studies of the O2 transport pathway – the integrated physiological system that transports O2 from the environment to mitochondria – are well suited to this endeavour. We consider the mechanistic underpinnings across the O2 pathway for the evolution of aerobic capacity, focusing on studies of artificial selection and naturally selected divergence among wild populations of mammals and fish. We show that evolved changes in aerobic capacity do not require concerted changes across the O2 pathway and can arise quickly from changes in one or a subset of pathway steps. Population divergence in aerobic capacity can be associated with the evolution of plasticity in response to environmental variation or activity. In some cases, initial evolutionary divergence of aerobic capacity arose exclusively from increased capacities for O2 diffusion and/or utilization in active O2-consuming tissues (muscle), which may often constitute first steps in adaptation. However, continued selection leading to greater divergence in aerobic capacity is often associated with increased capacities for circulatory and pulmonary O2 transport. Increases in tissue O2 diffusing capacity may augment the adaptive benefit of increasing circulatory O2 transport owing to their interactive influence on tissue O2 extraction. Theoretical modelling of the O2 pathway suggests that O2 pathway steps with a disproportionately large influence over aerobic capacity have been more likely to evolve, but more work is needed to appreciate the extent to which such physiological principles can predict evolutionary outcomes.