Aerobic exercise capacity decreases with exposure to hypoxia. This article focuses on the effects of hypoxia on nervous system function and the potential consequences for the exercising human. Emphasis is put on somatosensory muscle afferents due to their crucial role in the reflex inhibition of muscle activation and in cardiorespiratory reflex control during exercise. We review the evidence of hypoxia influences on muscle afferents and discuss important consequences for exercise performance. Efferent (motor) nerves are less affected at altitude and are thought to stay fairly functional even in severe levels of arterial hypoxemia. Altitude also alters autonomic nervous system functions, which are thought to play an important role in the regulation of cardiac output and ventilation. Finally, the consequences of hypoxia-induced cortical adaptations and dysfunctions are evaluated in terms of neurotransmitter turnover, brain electrical activity, and cortical excitability. Even though the cessation of exercise or the reduction of exercise intensity, when reaching maximum performance, implies reduced motor recruitment by the nervous system, the mechanisms that lead to the de-recruitment of active muscle are still not well understood. In moderate hypoxia, muscle afferents appear to play an important role, whereas in severe hypoxia brain oxygenation may play a more important role.