Although evidence exists that a critical limiting temperature during exercise leads to premature fatigue secondary to a reduced central nervous system (CNS) drive to skeletal muscle, other thermoregulatory models may provide alternative explanations for limitations to exercise and heat stress in humans. This paper considers a number of mammalian species and their thermoregulatory strategies which deal with physical work and survival in hot environments. The critical limiting temperature hypothesis as the cause of premature fatigue is discussed in relation to the evidence for a CNS down-regulation of skeletal muscle drive. However, recent studies suggest that exercise duration or the point of fatigue is determined by a mechanism of anticipatory regulation for the avoidance of catastrophe. Evidence is offered that premature fatigue in the heat is not limited by a critical limiting temperature per se, but rather the rate at which core temperature rises so that the organism can anticipate the point of termination and avoid a catastrophic outcome.