Can I increase my oxygen level in my blood by exercising a lot, even if I have anaemia?

Oxygen in blood. The oxygen in your blood is linked to the concentration of red cells in your blood. If you are anemic, that is what is going to limit your oxygenation, not how much you exercise. Being healthier may improve your anemia. If you exercise more, you may signal your body to tell your bone marrow to make more blood.