Our aim was to investigate whether hyperthermia before exercise protects against exercise-induced skeletal muscle damage. Two hyperthermia protocols were evaluated. In the first, male ICR mice were exposed to 30 min of whole-body heat in an environmental chamber at an ambient temperature of 42 °C. Heat-exposed and non-heat-exposed mice subsequently completed 60 min of downhill running on a treadmill, 24 h after exposure. Heat exposure significantly increased HSP70 and HSP25 content in the soleus muscle compared to controls. Plasma creatine kinase, muscle beta-glucuronidase, and histochemical (hematoxylin and eosin stain) analysis demonstrated that muscle damage was lower in the heat-exposed mice than in the non-heat-exposed mice. In the second, the effect of regional heating of the legs, by microwave diathermy, on the prevention of exercise-induced muscle damage was evaluated in male Wistar rats. Microwave-treated and non-microwave-treated rats again completed the running protocol 24 h after exposure. Microwave diathermy increased the muscle temperature to 40 °C, significantly increased HSP70 and HSP25 content in the soleus muscle, and significantly attenuated exercise-induced muscle damage. Therefore, hyperthermia before exercise increases skeletal muscle HSPs and attenuates the risk of exercise-induced muscle injury.