High-altitude, or hypobaric hypoxia, headache has recently emerged as an interesting model to study placebo and nocebo responses, and particularly their peripheral mechanisms. In this study, we analyze the response of this type of headache to either real or sham (placebo) oxygen (O(2)) administration at an altitude of 3500 m, where blood oxygen saturation (SO(2)) drops from the normal value of about 98% to about 85%. In a trial in which a double-blind administration of either 100% O(2) or sham O(2) was administered, we tested pre- and post-exercise headache, along with fatigue, heart rate (HR) responses, and prostaglandin E(2) (PGE(2)) salivary concentration. Although real O(2) breathing increased SO(2) along with a decrease in pre- and post-exercise headache, fatigue, HR, and PGE(2), placebo O(2) changed neither pre-/post-exercise headache nor SO(2)/HR/PGE(2), but it decreased fatigue. However, in another group of subjects, when sham O(2) was delivered after 2 previous exposures to O(2) (O(2) preconditioning), it decreased fatigue, post-exercise headache, HR, and PGE(2), yet without any increase in SO(2). Three main findings emerge from these data. First, placebo O(2) is effective in reducing post-exercise headache, along with HR and PGE(2) decrease, only after O(2) preconditioning. Second, pre-exercise (at rest) headache is not affected by placebo O(2), which emphasizes the limits of a placebo treatment at high altitude. Third, fatigue is affected by placebo O(2) even without prior O(2) conditioning, which suggests the higher placebo sensitivity of fatigue compared with headache pain at high altitude.