Chili pepper is used as a food, seasoning and has been revered for its medicinal and health claims. It is very popular and is the most common spice worldwide. Capsaicin (CAP) is a major pungent and bioactive phytochemical in chili peppers. CAP has been shown to improve mitochondrial biogenesis and adenosine triphosphate (ATP) production. However, there is limited evidence around the effects of CAP on physical fatigue and exercise performance. The purpose of this study was to evaluate the potential beneficial effects of CAP on anti-fatigue and ergogenic functions following physiological challenge. Female Institute of Cancer Research (ICR) mice from four groups (n = 8 per group) were orally administered CAP for 4 weeks at 0, 205, 410, and 1025 mg/kg/day, which were respectively designated the vehicle, CAP-1X, CAP-2X, and CAP-5X groups. The anti-fatigue activity and exercise performance was evaluated using forelimb grip strength, exhaustive swimming time, and levels of serum lactate, ammonia, glucose, BUN (blood urea nitrogen) and creatine kinase (CK) after a 15-min swimming exercise. The grip strength and exhaustive swimming time of the CAP-5X group were significantly higher than other groups. CAP supplementation dose-dependently reduced serum lactate, ammonia, BUN and CK levels, and increased glucose concentration after the 15-min swimming test. In addition, CAP also increased hepatic glycogen content, an important energy source for exercise. The possible mechanism was relevant to energy homeostasis and the physiological modulations by CAP supplementation. Therefore, our results suggest that CAP supplementation may have a wide spectrum of bioactivities for promoting health, performance improvement and fatigue amelioration.