Dietary polyunsaturated fatty acids (PUFA) can have various effects on animal physiology through their roles as energy, structural, regulatory, and signaling molecules. Of recent interest has been the incorporation of dietary PUFA into muscle membranes as phospholipids, thereby potentially affecting exercise performance by mechanisms such as altered mitochondrial proton leak and membrane-bound protein activity. We first studied the effects of a high-ω6 PUFA diet vs. a high-ω3 PUFA diet on peak metabolic rate (PMR) in white-throated sparrows, and additionally measured mRNA expression of fatty acid transporters and the activity of major oxidative enzymes. Our experiment, thus, allowed a test of the “natural doping” hypothesis. With a simple diet manipulation, the two groups of sparrows diverged significantly in both muscle phospholipid composition and adipose triacylglycerol composition. The high-ω6 sparrows achieved higher PMR without a change in enzyme activity or transporter expression. We then fed sparrows the 2 diets, followed by a food restriction (Hω3RI and Hω6RI treatments). When their adipose stores were exhausted, we fed both groups a common diet of intermediate fatty acid composition. This protocol resulted in the Hω6RI and Hω3RI groups diverging significantly in muscle phospholipid composition, but they had substantially similar adipose stores. PMR did not differ between the Hω6RI and Hω3RI groups. We conclude that muscle phospholipids do not play a major role in affecting exercise performance. The fatty acid composition of stored triacylglycerol may instead affect exercise via the preferential use of particular fatty acids by muscles.