Exercise-induced micro-injuries at the tendon-bone junction (enthesis) can lead to tendinopathy. Investigating the ultrastructural changes and mechanisms within the enthesis following acute exhaustive exercise can improve our understanding of tendinopathy and guide clinical treatments. In this study, thirty-six male Sprague-Dawley rats were randomly assigned to two groups: control and exhaustive exercise. The exhaustive exercise group was further subdivided into five subgroups based on the time post-exercise: 0 h, 6 h, 12 h, 24 h, and 48 h. Hematoxylin-eosin staining and electron microscopy were employed to examine changes in the calcaneal tendon-bone junction. The expression of endoplasmic reticulum stress (ERS)-related proteins GRP78, CHOP, and Caspase-12 at the tendon-bone junction was quantified using immunohistochemistry (IHC). Following acute exhaustive exercise, the tendon-bone junctions of rats that underwent exhaustive exercise displayed significant structural alterations. Chondrocytes and collagen fibers exhibited notable ultrastructural changes indicative of ERS. ERS protein levels increased immediately after exercise, peaking at 6 h. These protein levels began to decline at 12 h post-exercise and returned to baseline by 48 h. In conclusion, acute exhaustive exercise induces micro-damage and endoplasmic reticulum stress at the tendon-bone junction in rats, but no irreversible damage ensues. Timely treatment and repair of these micro-injuries can prevent excessive damage and the development of tendinopathy.