Sufficient delivery of oxygen and metabolic substrates, together with removal of waste products, are key elements of muscle performance. Capillaries are the primary site for this exchange in skeletal muscle and the degree of muscle capillarization affects diffusion conditions by influencing mean transit time, capillary surface area and diffusion distance. Muscle capillarization may thus represent a limiting factor for performance. Exercise training increases the number of capillaries per muscle fiber by about 10%–20% within a few weeks in untrained subjects, whereas capillary growth progresses more slowly in well-trained endurance athletes. Studies show that capillaries are tortuous, situated along and across the length of the fibers with an arrangement related to muscle fascicles. Although direct data is lacking, it is possible that years of training not only enhances capillary density but also optimizes the positioning of capillaries, to further improve the diffusion conditions. Muscle capillarization has been shown to increase oxygen extraction during exercise in humans, but direct evidence for a causal link between increased muscle capillarization and performance is scarce. This review covers current knowledge on the implications of muscle capillarization for oxygen and glucose uptake as well as performance. A brief overview of the process of capillary growth and of physical factors, inherent to exercise, which promote angiogenesis, provides the foundation for a discussion on how different training modalities may influence muscle capillary growth. Finally, we identify three areas for future research on the role of capillarization for exercise performance.