Brain serotonin and dopamine are neurotransmitters related to fatigue, a feeling that leads to reduced intensity or interruption of physical exercises, thereby regulating performance. The present review aims to present advances on the understanding of fatigue, which has recently been proposed as a defense mechanism instead of a "physiological failure" in the context of prolonged (aerobic) exercises. We also present recent advances on the association between serotonin, dopamine and fatigue. Experiments with rodents, which allow direct manipulation of brain serotonin and dopamine during exercise, clearly indicate that increased serotoninergic activity reduces performance, while increased dopaminergic activity is associated with increased performance. Nevertheless, experiments with humans, particularly those involving nutritional supplementation or pharmacological manipulations, have yielded conflicting results on the relationship between serotonin, dopamine and fatigue. The only clear and reproducible effect observed in humans is increased performance in hot environments after treatment with inhibitors of dopamine reuptake. Because the serotonergic and dopaminergic systems interact with each other, the serotonin-to-dopamine ratio seems to be more relevant for determining fatigue than analyzing or manipulating only one of the two transmitters. Finally, physical training protocols induce neuroplasticity, thus modulating the action of these neurotransmitters in order to improve physical performance.