Alterations in iron metabolism after physical activity are manifested through the rise of blood hepcidin (Hpc) levels. However, in many athletes, no changes in Hpc levels are observed after exercise despite the presence of inflammation. The missing links could be erythropoietin (EPO) and erythroferrone (ERFE), which down-regulate Hpc biosynthesis. EPO, ERFE and Hpc biosynthesis is modified by serum iron through transferrin receptor 2. Consequently, we investigated whether marathon-induced changes in EPO, ERFE and Hpc levels are blood iron-dependent. Twenty-nine healthy male marathon runners were analyzed. Serum iron, ferritin, transferrin, EPO, ERFE and Hpc levels were assessed before, immediately after, and 9 ± 2 days after the marathon. The runners whose serum Hpc decreased after the marathon (n = 15), showed a significant increase in ERFE levels. In athletes whose serum iron levels were below 105 µg/day (n = 15), serum EPO (p = 0.00) and ERFE levels (p = 0.00) increased with no changes in Hpc concentration. However, in athletes with low serum iron, no changes in EPO levels were observed when serum ferritin exceeded 70 ng/mL (n = 7). Conversely, an increase in ERFE levels was observed in marathoners with low serum iron, independently of serum ferritin (n = 7). This indicates modulation of blood iron may affect exercise-induced changes in the EPO/ERFE/Hpc axis. Further study is needed to fully understand the physiological meaning of the interdependence between iron and the EPO/ERFE/Hpc axis.