Due to today’s fast-paced lifestyle, most people are in a state of sub-health and face “unexplained fatigue”, which can seriously affect their health, work efficiency, and quality of life. Fatigue is also a common symptom of several serious diseases such as Parkinson’s, Alzheimer’s, cancer, etc. However, the contributing mechanisms are not clear, and there are currently no official recommendations for the treatment of fatigue. Some dietary polysaccharides are often used as health care supplements; these have been reported to have specific anti-fatigue effects, with minor side effects and rich pharmacological activities. Dietary polysaccharides can be activated during food processing or during gastrointestinal transit, exerting unique effects. This review aims to comprehensively summarize and evaluate the latest advances in the biological processes of exercise-induced fatigue, to understand dietary polysaccharides and their possible molecular mechanisms in alleviating exercise-induced fatigue, and to systematically elaborate the roles of gut microbiota and the gut-muscle axis in this process. From the perspective of the gut-muscle axis, investigating the relationship between polysaccharides and fatigue will enhance our understanding of fatigue and may lead to a significant breakthrough regarding the molecular mechanism of fatigue. This paper will provide new perspectives for further research into the use of polysaccharides in food science and food nutrition, which could help develop potential anti-fatigue agents and open up novel therapies for sub-health conditions.