During operational activities, military personnel face extremely demanding circumstances, which when combined lead to severe fatigue, influencing both their well-being and performance. Physical exertion is the main condition leading to fatigue, and its continuous tracking would help prevent its effects. This review aimed to investigate the up-to-date progress on non-invasive physiological monitoring to evaluate situations of physical exertion as a pre-condition to fatigue in military populations, and determine the potential associations between physiological responses and fatigue, which can later result in decision-making indicators to prevent health-related consequences. Adhering to the PRISMA Statement, four databases (Scopus, Science Direct, Web of Science and PubMed) were used for a literature search based on combinations of keywords. The eligibility criteria focused on studies monitoring physiological variables through non-invasive objective measurements, with these measurements being developed in military field, combat, or training conditions. The review process led to the inclusion of 20 studies. The findings established the importance of multivariable assessments in a real-life context to accurately characterise the effects of military practices. A tendency for examining heart rate variables, thermal responses, and actigraphy measurements was also identified. The objectives and experimental protocols were diverse, but the effectiveness of non-invasive measurements in identifying the most fatigue-inducing periods was demonstrated. Nevertheless, no assessment system for standardised application was presented. Future work may include the development of assessment methods to translate physiological recordings into actionable information in real-time and mitigate the effects of fatigue on soldiers’ performance accurately.