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During exercise, there is a progressive reduction in the ability to produce muscle force. Processes within the nervous system as well as within the muscles contribute to this fatigue. In addition to impaired function of the motor system, sensations associated with fatigue and impairment of homeostasis can contribute to the impairment of performance during exercise. This review discusses some of the neural changes that accompany exercise and the development of fatigue. The role of brain monoaminergic neurotransmitter systems in whole-body endurance performance is discussed, particularly with regard to exercise in hot environments. Next, fatigue-related alterations in the neuromuscular pathway are discussed in terms of changes in motor unit firing, motoneuron excitability, and motor cortical excitability. These changes have mostly been investigated during single-limb isometric contractions. Finally, the small-diameter muscle afferents that increase firing with exercise and fatigue are discussed. These afferents have roles in cardiovascular and respiratory responses to exercise, and in the impairment of exercise performance through interaction with the motor pathway, as well as in providing sensations of muscle discomfort. Thus, changes at all levels of the nervous system, including the brain, spinal cord, motor output, sensory input, and autonomic function, occur during exercise and fatigue. The mix of influences and the importance of their contribution vary with the type of exercise being performed.