Temperature and oxygen limit the distribution of marine ectotherms. Haematological traits underlying blood-oxygen carrying capacity are thought to be correlated with thermal tolerance in certain fishes, and this relationship is hypothesised to be explained by oxygen supply capacity. We tested this hypothesis using reef shark neonates as experimental models because they live near their upper thermal limits and are physiologically sensitive to low oxygen conditions. We first described in situ associations between temperature and oxygen at the study site (Moorea, French Polynesia) and found that the habitats for reef shark neonates (Carcharhinus melanopterus and Negaprion acutidens) were hyperoxic at the maximum recorded temperatures. Next, we tested for in situ associations between thermal habitat characteristics and haematological traits of neonates. Contrary to predictions, we only demonstrated a negative association between haemoglobin concentration and maximum habitat temperatures in C. melanopterus. Next, we tested for ex situ associations between critical thermal maximum (CTMax) and haematological traits, but only demonstrated a negative association between haematocrit and CTMax in C. melanopterus. Finally, we measured critical oxygen tension (pcrit) ex situ and estimated its temperature sensitivity to predict oxygen-dependent values of CTMax. Estimated temperature sensitivity of pcrit was similar to reported values for sharks and skates, and predicted values for CTMax equalled maximum habitat temperatures. These data demonstrate unique associations between haematological traits and thermal tolerance in a reef shark that are likely not explained by oxygen supply capacity. However, a relationship between oxygen supply capacity and thermal tolerance remains to be demonstrated empirically.