We investigated brain mechanisms modulating fatigue during prolonged physical exercise in cold environments. In a first set of studies, each rat was subjected to three running trials in different ambient temperatures (Ta). At 8 °C and 15 °C, core body temperature (Tcore) decreased and increased, respectively, whereas at 12 °C, the Tcore did not change throughout the exercise. In another set of experiments, rats were randomly assigned to receive bilateral 0.2 μL injections of 2.5 × 10−2 M methylatropine or 0.15 M NaCl solution into the ventromedial hypothalamic nuclei (VMH). Immediately after the injections, treadmill exercise was started. Each animal was subjected to two experimental trials at one of the following Ta: 5 °C, 12 °C or 15 °C. Muscarinic blockade of the VMH reduced the time to fatigue (TF) in cold environments by 35–37%. In all Ta studied, methylatropine-treated rats did not present alterations in Tcore and tail skin temperature compared with controls. These results indicate that, below the zone of thermoneutrality, muscarinic blockade of the VMH decreases the TF, independent of changes in Tcore. In conclusion, our data suggest that VMH muscarinic transmission modulates physical performance, even when the effects of thermoregulatory adjustments on fatigue are minimal.