Fatigue is a common worrying complaint among people performing physical activities on the basis of training or rehabilitation. An enormous amount of research articles have been published on the topic of fatigue and its effect on physical and physiological functions. The goal of this review was to focus on the effect of fatigue on muscle activity, proprioception, and cognitive functions and to summarize the results to understand the influence of fatigue on these functions. Attaining this goal provides evidence and guidance when dealing with patients and/or healthy individuals in performing maximal or submaximal exercises.