A canonical view of the primary physiological function of myoglobin (Mb) is that it is an oxygen (O₂) storage protein supporting mitochondrial oxidative phosphorylation, especially as the tissue O₂ partial pressure (Po₂) drops and Mb off-loads O₂. Besides O₂ storage/transport, recent findings support functions for Mb in lipid trafficking and sequestration, interacting with cellular glycolytic metabolites such as lactate (LAC) and pyruvate (PYR), and “ectopic” expression in some types of cancer cells and in brown adipose tissue (BAT). Data from Mb knockout (Mb^−/−) mice and biochemical models suggest additional metabolic roles for Mb, especially regulation of nitric oxide (NO) pools, modulation of BAT bioenergetics, thermogenesis, and lipid storage phenotypes. From these and other findings in the literature over many decades, Mb’s function is not confined to delivering O₂ in support of oxidative phosphorylation but may serve as an O₂ sensor that modulates intracellular Po₂– and NO-responsive molecular signaling pathways. This paradigm reflects a fundamental change in how oxidative metabolism and cell regulation are viewed in Mb-expressing cells such as skeletal muscle, heart, brown adipocytes, and select cancer cells. Here, we review historic and emerging views related to the physiological roles for Mb and present working models illustrating the possible importance of interactions between Mb, gases, and small-molecule metabolites in regulation of cell signaling and bioenergetics.