Hypoxia, defined as a reduced oxygen availability, can be observed in many tissues in response to various physiological and pathological conditions. As a hallmark of the altitude environment, ambient hypoxia results from a drop in the oxygen pressure in the atmosphere with elevation. A hypoxic stress can also occur at the cellular level when the oxygen supply through the local microcirculation cannot match the cells’ metabolic needs. This has been suggested in contracting skeletal myofibers during physical exercise. Regardless of its origin, ambient or exercise-induced, muscle hypoxia triggers complex angio-adaptive responses in the skeletal muscle tissue. These can result in the expression of a plethora of angio-adaptive molecules, ultimately leading to the growth, stabilization, or regression of muscle capillaries. This remarkable plasticity of the capillary network is referred to as angio-adaptation. It can alter the capillary-to-myofiber interface, which represent an important determinant of skeletal muscle function. These angio-adaptive molecules can also be released in the circulation as myokines to act on distant tissues. This review addresses the respective and combined potency of ambient hypoxia and exercise to generate a cellular hypoxic stress in skeletal muscle. The major skeletal muscle angio-adaptive responses to hypoxia so far described in this context will be discussed, including existing controversies in the field. Finally, this review will highlight the molecular complexity of the skeletal muscle angio-adaptive response to hypoxia and identify current gaps of knowledges in this field of exercise and environmental physiology.