This article presents a historical overview and an up-to-date review of hyperthermia-induced fatigue during exercise in the heat. Exercise in the heat is associated with a thermoregulatory burden which mediates cardiovascular challenges and influence the cerebral function, increase the pulmonary ventilation, and alter muscle metabolism, which all potentially may contribute to fatigue and impair the ability to sustain power output during aerobic exercise. For maximal intensity exercise, the performance impairment is clearly influenced by cardiovascular limitations to simultaneously support thermoregulation and oxygen delivery to the active skeletal muscle. In contrast, during submaximal intensity exercise at a fixed intensity, muscle blood flow and oxygen consumption remain unchanged and the potential influence from cardiovascular stressing and/or high skin temperature is not related to decreased oxygen delivery to the skeletal muscles. Regardless, performance is markedly deteriorated and exercise-induced hyperthermia is associated with central fatigue as indicated by impaired ability to sustain maximal muscle activation during sustained contractions. The central fatigue appears to be influenced by neurotransmitter activity of the dopaminergic system, but inhibitory signals from thermoreceptors arising secondary to the elevated core, muscle and skin temperatures and augmented afferent feedback from the increased ventilation and the cardiovascular stressing (perhaps baroreceptor sensing of blood pressure stability) and metabolic alterations within the skeletal muscles are likely all factors of importance for afferent feedback to mediate hyperthermia-induced fatigue during submaximal intensity exercise. Taking all the potential factors into account, we propose an integrative model that may help understanding the interplay among factors, but also acknowledging that the influence from a given factor depends on the exercise hyperthermia situation.