In young, healthy people the alveolar-arterial PO₂ difference (A-aDO₂) is small at rest, but frequently increases during exercise. Previously, investigators have focused on ventilation/perfusion mismatch and diffusion abnormalities, to explain the impairment in gas exchange as significant physiological intra-pulmonary shunt has not been found. The aim of this study was to use a non-gas exchange method to determine if anatomical intra-pulmonary (I-P) shunts develop during exercise, and, if so, whether there is a relationship between shunt and increased A-aDO₂. Healthy male participants performed graded upright cycling to 90% VO_2max while pulmonary arterial (PAP) and pulmonary artery wedge pressures were measured. Blood samples were obtained from the radial artery, cardiac output (Q) was calculated by the direct Fick method and I-P shunt was determined by administering agitated saline during continuous 2-D echocardiography. A-aDO₂ progressively increased with exercise and was related to Q (r=0.86) and PAP (r=0.75). No evidence of I-P shunt was found at rest in the upright position, however 7 of 8 subjects developed I-P shunts during exercise. In these subjects, point bi-serial correlations indicated that I-P shunts were related to the increased A-aDO₂ (r=0.68), Q (r=0.76) and PAP (r=0.73). During exercise, intra-pulmonary shunt always occurred when A-aDO₂ exceeded 12 mmHg and Q was greater than 24 L . min^-1. These results indicate that anatomical I-P shunts develop during exercise and we suggest that shunt recruitment may contribute to the widened A-aDO₂ during exercise.