The aim of the present study was to examine the regulation of exercise intensity in hot environments when exercise is performed at a predetermined, fixed subjective rating of perceived exertion (RPE). Eight cyclists performed cycling trials at 15°C (COOL), 25°C (NORM) and 35°C (HOT) (65% humidity throughout), during which they were instructed to cycle at a Borg rating of perceived exertion (RPE) of 16, increasing or decreasing their power output in order to maintain this RPE. Power output declined linearly in all three trials and the rate of decline was significantly higher in HOT than in NORM and COOL (2.35 ± 0.73 W min−1, 1.63 ± 0.70 and 1.61 ± 0.80 W min−1, respectively, P < 0.05). The rate of heat storage was significantly higher in HOT for the first 4 min of the trials only, as a result of increasing skin temperatures. Thereafter, no differences in heat storage were found between conditions. We conclude that the regulation of exercise intensity is controlled by an initial afferent feedback regarding the rate of heat storage, which is used to regulate exercise intensity and hence the rate of heat storage for the remainder of the anticipated exercise bout. This regulation maintains thermal homeostasis by reducing the exercise work rate and utilizing the subjective RPE specifically to ensure that excessive heat accumulation does not occur and cellular catastrophe is avoided.