Analysis of variation in whole-animal performance can shed light on causal connections between specific traits, integrated physiological capacities, and Darwinian fitness. Here, we review and synthesize information on naturally occurring variation in physiological performance capacities and how it relates to environmental adaptation in deer mice (Peromyscus maniculatus). We discuss how evolved changes in aerobic exercise capacity and thermogenic capacity have contributed to adaptation to high elevations. Comparative work on deer mice at high and low elevations has revealed evolved differences in aerobic performance capacities in hypoxia. Highland deer mice have consistently higher aerobic performance capacities under hypoxia relative to lowland natives, consistent with the idea that it is beneficial to have a higher maximal metabolic rate (as measured by the maximal rate of O₂ consumption, VO_2max) in an environment characterized by lower air temperatures and lower O₂ availability. Observed differences in aerobic performance capacities between highland and lowland deer mice stem from changes in numerous subordinate traits that alter the flux capacity of the O₂-transport system, the oxidative capacity of tissue mitochondria, and the relationship between O₂ consumption and ATP synthesis. Many such changes in physiological phenotype are associated with hypoxia-induced changes in gene expression. Research on natural variation in whole-animal performance forms a nexus between physiological ecology and evolutionary biology that requires insight into the natural history of the study species.