The measurement of metabolic and endocrinal markers during physical activity is of relevance to understanding the physiological implications of different exercise modalities. During some exercise modalities (e.g., high-intensity interval exercise), blood metabolites and hormonal levels change in short periods of time. In the present study, we describe a method to catheterize the antecubital vein, which allows the collection of several blood samples during exercise. Insulin and venous lactate concentrations were measured during high-intensity exercise by the application of the described method. The exercise consisted of three 30 s bouts of high-intensity exercise separated by 4 min of recovery. After the last recovery period, a Wingate test was performed. Blood samples from the antecubital vein were obtained before and after each 30 s bout and before and after the Wingate test. As a result, it was possible to evaluate the plasma insulin and venous blood lactate variations during the exercise.