The present study investigated whether intrinsic exercise capacity affects the changes in thermoregulation, metabolism and central dopamine (DA) induced by treadmill running. Male Wistar rats were subjected to three incremental exercises and ranked as low-performance (LP), standard-performance (SP) and high-performance (HP) rats. In the first experiment, abdominal (T) and tail (T) temperatures were registered in these rats during submaximal exercise (SE) at 60% of maximal speed. Immediately after SE, rats were euthanized and concentrations of DA and 3,4-dihydroxyphenylacetic acid (DOPAC) were determined in the preoptic area (POA). In the second experiment, oxygen consumption (VO) was measured and mechanical efficiency (ME) was calculated in these rats during an incremental exercise. HP rats ran for longer periods and fatigued with higher T values, with no difference in T. Nevertheless, thermoregulatory efficiency was higher in HP rats, compared to other groups. DA and DOPAC concentrations in the POA were increased by SE, with higher levels in HP compared to LP and SP rats. VO also differed between groups, with HP rats displaying a lower consumption throughout the incremental exercise but a higher VO at fatigue. ME, in turn, was consistently higher in HP than in LP and SP rats. Thus, our results show that HP rats have greater T values at fatigue, which seem to be related to a higher dopaminergic activity in the POA. Moreover, HP rats exhibited a greater thermoregulatory efficiency during exercise, which that can be attributed to a lower VO, but not to changes in tail heat loss mechanisms.