Exercise-induced reactive oxygen and nitrogen species are increasingly considered as beneficial health promotion. Astaxanthin (ASX) has been recognized as a potent antioxidant suitable for human ingestion. We investigated whether ASX administration suppressed antioxidant enzyme activity in moderate-intensity exercise. Seven-week-old male C57BL/6 mice (n = 8/group) were treated with ASX (5, 15, and 30 mg/kg BW) combined with 45 min/day moderate-intensity swimming training for four weeks. Results showed that the mice administrated with 15 and 30 mg/kg of ASX decreased glutathione peroxidase, catalase, malondialdehyde, and creatine kinase levels in plasma or muscle, compared with the swimming control group. Beyond that, these two (15 and 30 mg/kg BW) dosages of ASX downregulated gastrocnemius muscle erythroid 2p45 (NF-E2)-related factor 2 (Nrf2). Meanwhile, mRNA of Nrf2 and Nrf2-dependent enzymes in mice heart were also downregulated in the ASX-treated groups. However, the mice treated with 15 or 30 mg/kg ASX had increased constitutive nitric oxidase synthase and superoxide dismutase activity, compared with the swimming and sedentary control groups. Our findings indicate that high-dose administration of astaxanthin can blunt antioxidant enzyme activity and downregulate transcription of Nrf2 and Nrf2-dependent enzymes along with attenuating plasma and muscle MDA.