This review deals with new aspects of exercise in the heat as a challenge that not only influences the locomotive and cardiovascular systems, but also affects the brain. Activation of the brain during such exercise is manifested in the lowering of the cerebral glucose to oxygen uptake ratio, the elevated ratings of perceived exertion and increased release of hypothalamic hormones. While the slowing of the electroencephalographic (EEG), the decreased endurance and hampered ability to activate the skeletal muscles maximally during sustained isometric and repeated isokinetic contractions appear to relate to central fatigue arising as the core/brain increases, the central fatigue during exercise with hyperthermia thus can be considered as the ultimate safety break against catastrophic hyperthermia. This would force the subject to stop exercising or decrease the internal heat production. It appears that the dopaminergic system is important, but several other factors may interact and feedback from the skeletal muscles and internal temperature sensors are probably also involved. The complexity of brain fatigue response is discussed based on our own investigations and in the light of recent literature.