This study examined the relationship between exhaustive exercise in the heat at moderate and high intensities on the intracellular heat shock protein 72 (iHsp72) response. Twelve male subjects cycled to exhaustion at 60 and 75 % of maximal oxygen uptake in hot conditions (40 °C, 50 % RH). iHsp72 concentration was measured in monocytes before, at exhaustion and 24 h after exercise. Rectal temperature, heart rate and oxygen uptake were recorded during exercise. Volitional exhaustion occurred at 58.9 ± 12.1 and 27.3 ± 9.5 min (P < 0.001) and a rectal temperature of 39.8 ± 0.4 and 39.2 ± 0.6 °C (P = 0.002), respectively, for 60 and 75 %. The area under the curve above a rectal temperature of 38.5 °C was greater at 60 % (17.5 ± 6.6 °C min) than 75 % (3.4 ± 4.8 °C min; P < 0.001), whereas the rate of increase in rectal temperature was greater at 75 % (5.1 ± 1.7 vs. 2.2 ± 1.4 °C h−1; P < 0.001). iHsp72 concentration increased similarly at exhaustion relative to pre-exercise (P = 0.044) and then increased further at 24 h (P < 0.001). Multiple regression analysis revealed no predictor variables associated with iHsp72 expression; however, a correlation was observed between exercise intensities for the increase in iHsp expression at exhaustion and 24 h (P < 0.05). These results suggest that iHsp72 expression increased in relation to the level of hyperthermia attained and sustained at 60 % and the higher metabolic rate and greater rate of increase in core temperature at 75 %, with the further increase in iHsp72 concentration 24 h after exercise reinforcing its role as a chaperone and cytoprotective agent.