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Supplemental oxygen (SO) increases survival in hypoxemic patients. In hypoxia, mammals respond by modulating O2-sensitive transducers that stabilize the transcription factor hypoxia-inducible factor-1-alpha (HIF-1α), which transactivates the genes that govern angiogenesis and metabolic pathways. Residing at high altitudes exposes millions of people to hypoxemia with potential adverse consequences on their health. We aimed to identify markers of hypoxemia that can be used in the evaluation of patients in addition to pulse oximetry and arterial blood gases, especially those that could respond after 1 month of oxygen use. We performed a prospective pilot study at 2240 m above sea level, with repeated measurements before and after (b/a) 1-month home oxygen therapy in 70 patients with lung diseases, of which 24/20 have COPD, 41/39 obstructive sleep apnea (OSA), and 5/2 with interstitial lung diseases (ILD), all of them having chronic hypoxemia, as well as 70 healthy subjects as controls. Proteins evaluated included HIF-1α, vascular endothelial growth factor (VEGF), and erythropoietin (EPO). Among the main results, we found that hypoxemic patients had normal levels of HIF-1α but increased EPO compared with healthy controls. VEGF levels were heterogeneous in the sample studied, similar to the control group in COPD, slightly increased in OSA, and decreased in fibrosis. With oxygen treatment, the HIF-1α and EPO decreased in COPD and OSA but not in fibrosis, and VEGF remained constant over time. In conclusion, erythropoietin and HIF-1α identified hypoxemia initially and responded to oxygen. In pulmonary fibrosis, HIF-1α, EPO, and VEGF increased with oxygen therapy, which is likely linked to the disease’s pathogenesis and clinical course rather than hypoxemia.