Type 2 diabetes is associated with microvascular dysfunction, but little is known about how capillary ultrastructure is affected by exercise training. To investigate the effect of two types of exercise training on skeletal muscle capillary ultrastructure and capillarization in individuals with type 2 diabetes, 21 individuals with type 2 diabetes were allocated (randomized controlled trial) to 11 weeks of aerobic exercise training consisting of either moderate-intensity endurance training (END; n = 10) or low-volume high-intensity interval training (HIIT; n = 11). Skeletal muscle biopsies (m vastus lateralis) were obtained before and after the training intervention. At baseline, there was no difference in capillarization, capillary structure, and exercise hyperemia between the two groups. After the training intervention, capillary-to-fiber ratio increased by 8% ± 3% in the END group (P < 0.05) and was unchanged in the HIIT group with no difference between groups. Endothelium thickness increased (P < 0.05), basement membrane thickness decreased (P < 0.05), and the capillary lumen tended (P = 0.07) to increase in the END group, whereas these structural indicators were unchanged after HIIT. In contrast, skeletal muscle endothelial nitric oxide synthase (eNOS) increased after HIIT (P < 0.05), but not END, whereas there was no change in vascular endothelial growth factor (VEGF), superoxide dismutase (SOD)-2, or NADPH oxidase after both training protocols. In contrast to END training, HIIT did not alter capillarization or capillary structure in individuals with type 2 diabetes. In conclusion, HIIT appears to be a less effective strategy to treat capillary rarefaction and reduce basement thickening in type 2 diabetes.