This study examined whether a rise in thermal and cardiovascular strain during exercise to exhaustion in the heat at different intensities is associated with compromised muscle and cerebral oxygenation. Using near-infrared spectroscopy, oxygenation changes in the vastus lateralis and prefrontal cortex of ten subjects cycling to exhaustion in 40 °C conditions at 60 % (H60%) and 75 % (H75%) maximal oxygen uptake (VO₂(max)) and for 60 min in 18 °C conditions at 60 % VO₂(max) (C60%) were examined. Thermoregulatory and cardiovascular responses were also monitored. Rectal temperature reached 38.1 °C in the C60% trial, 39.7 °C (~60 min) and 39.0 °C (~27 min) in the H60% and H75% trials, respectively (P < 0.001). The core-to-skin temperature gradient was similarly narrow (~0.9 °C) at exhaustion in the heat, occurring >97 % of maximum heart rate and accompanied by significant declines in stroke volume, cardiac output and mean arterial pressure (P < 0.01). Vastus lateralis oxygen saturation (SmO(2)) declined at the onset of exercise in all conditions, remaining similarly depressed at exhaustion in the heat. Prefrontal cortex oxygen saturation (ScO(2)) was ~10 % lower at exhaustion in the H60% and H75% trials compared with C60% (P < 0.01), which remained above baseline from 15 min onward. These findings indicate that changes in SmO(2) and ScO(2) are associated with the development of thermal and cardiovascular strain during exercise to exhaustion in the heat, which is accelerated by exercise intensity. In locomotor muscles, a potential reduction in oxygen delivery may develop, whereas in the brain, the progressive reduction in ScO(2) may induce mental fatigue.