Exhaustive exercise in a hot environment can impair performance. Higher epinephrine plasma levels occur during exercise in heat, indicating greater sympathetic activity. This study examined the influence of exercise in the heat on stress levels. Nine young healthy men performed a maximal progressive test on a cycle ergometer at two different environmental conditions: hot (40°C) and normal (22°C), both between 40% and 50% relative humidity. Venous blood and saliva samples were collected pre-test and post-test. Before exercise there were no significant changes in salivary biomarkers (salivary IgA: p = 0.12; α-amylase: p = 0.66; cortisol: p = 0.95; nitric oxide: p = 0.13; total proteins: p = 0.07) or blood lactate (p = 0.14) between the two thermal environments. Following exercise, there were significant increases in all variables (salivary IgA 22°C: p = 0.04, 40°C: p = 0.0002; α-amylase 22°C: p = 0.0002, 40°C: p = 0.0002; cortisol 22°C: p = 0.02, 40°C: p = 0.0002; nitric oxide 22°C: p = 0.0005, 40°C: p = 0.0003, total proteins 22°C: p<0.0001, 40°C: p<0.0001 and; blood lactate 22°C: p<0.0001, 40°C: p<0.0001) both at 22°C and 40°C. There was no significant adjustment regarding IgA levels between the two thermal environments (p = 0.74), however the levels of α-amylase (p = 0.02), cortisol (p<0.0001), nitric oxide (p = 0.02) and total proteins (p = 0.01) in saliva were higher in the hotter conditions. Blood lactate was lower under the hot environment (p = 0.01). In conclusion, enduring hot temperature intensified stressful responses elicited by exercise. This study advocates that hot temperature deteriorates exercise performance under exhaustive stress and effort conditions.