Exercise fatigue is a complex physiological and psychological phenomenon that includes peripheral fatigue in the muscles and central fatigue in the brain. Peripheral fatigue refers to the loss of force caused at the distal end of the neuromuscular junction, whereas central fatigue involves decreased motor output from the primary motor cortex, which is associated with modulations at anatomical sites proximal to nerves that innervate skeletal muscle. The central regulatory failure reflects a progressive decline in the central nervous system’s capacity to recruit motor units during sustained physical activity. Emerging evidence highlights the critical involvement of central neurochemical regulation in fatigue development, particularly through neurotransmitter-mediated modulation. Alterations in neurotransmitter release and receptor activity could influence excitatory and inhibitory signal pathways, thus modulating the perception of fatigue and exercise performance. Increased serotonin (5-HT) could increase perception of effort and lethargy, reduce motor drive to continue exercising, and contribute to exercise fatigue. Decreased dopamine (DA) and noradrenaline (NE) neurotransmission can negatively impact arousal, mood, motivation, and reward mechanisms and impair exercise performance. Furthermore, the serotonergic and dopaminergic systems interact with each other; a low 5-HT/DA ratio enhances motor motivation and improves performance, and a high 5-HT/DA ratio heightens fatigue perception and leads to decreased performance. The expression and activity of neurotransmitter receptors would be changed during prolonged exercise to fatigue, affecting the transmission of nerve signals. Prolonged high-intensity exercise causes excess 5-HT to overflow from the synaptic cleft to the axonal initial segment and activates the 5-HT1A receptor, thereby inhibiting the action potential of motor neurons and affecting the recruitment of motor units. During exercise to fatigue, the DA secretion is decreased, which blocks the binding of DA to D1 receptor in the caudate putamen and inhibits the activation of the direct pathway of the basal ganglia to suppress movement, meanwhile the binding of DA to D2 receptor is restrained in the caudate putamen, which activates the indirect pathway of the basal ganglia to influence motivation. Furthermore, other neurotransmitters and their receptors, such as adenosine (ADO), glutamic acid (Glu), and γ-aminobutyric acid (GABA) also play important roles in regulating neurotransmitter balance and fatigue. The occurrence of central fatigue is not the result of the action of a single neurotransmitter system, but a comprehensive manifestation of the interaction between multiple neurotransmitters. This review explores the important role of neurotransmitters and their receptors in central motor fatigue, reveals the dynamic changes of different neurotransmitters such as 5-HT, DA, NE, and ADO during exercise, and summarizes the mechanisms by which these neurotransmitters and their receptors regulate fatigue perception and exercise performance through complex interactions. Besides, this study presents pharmacological evidence that drugs such as agonists, antagonists, and reuptake inhibitors could affect exercise performance by regulating the metabolic changes of neurotransmitters. Recently, emerging interventions such as dietary bioactive components intake and transcranial electrical stimulation may provide new ideas and strategies for the prevention and alleviation of exercise fatigue by regulating neurotransmitter levels and receptor activity. Overall, this work offers new theoretical insights into the understanding of exercise central fatigue, and future research should further investigate the relationship between neurotransmitters and their receptors and exercise fatigue.