This randomized and controlled trial investigated whether the increase in elite training at different altitudes altered the oxidative stress biomarkers of the nervous system. This is the first study to investigate four F4-neuroprostanes (F4-NeuroPs) and four F2-dihomo-isoprostanes (F2-dihomo-IsoPs) quantified in 24-h urine. The quantification was carried out by ultra high pressure liquid chromatography-triple quadrupole-tandem mass spectrometry (UHPLC-QqQ-MS/MS). Sixteen elite triathletes agreed to participate in the project. They were randomized in two groups, a group submitted to altitude training (AT, n = 8) and a group submitted to sea level training (SLT) (n = 8), with a control group (Cg) of non-athletes (n = 8). After the experimental period, the AT group triathletes gave significant data: 17-epi-17-F2t-dihomo-IsoP (from 5.2 ± 1.4 μg/mL 24 h−1 to 6.6 ± 0.6 μg/mL 24 h−1), ent-7(RS)-7-F2t-dihomo-IsoP (from 6.6 ± 1.7 μg/mL 24 h−1 to 8.6 ± 0.9 μg/mL 24 h−1), and ent-7-epi-7-F2t-dihomo-IsoP (from 8.4 ± 2.2 μg/mL 24 h−1 to 11.3 ± 1.8 μg/mL 24 h−1) increased, while, of the neuronal degeneration-related compounds, only 10-epi-10-F4t-NeuroP (8.4 ± 1.7 μg/mL 24 h−1) and 10-F4t-NeuroP (5.2 ± 2.9 μg/mL 24 h−1) were detected in this group. For the Cg and SLT groups, no significant changes had occurred at the end of the two-week experimental period. Therefore, and as the main conclusion, the training at moderate altitude increased the F4-NeuroPs- and F2-dihomo-isoPs-related oxidative damage of the central nervous system compared to similar training at sea level.