Background: Borg’s rating of perceived exertion (BRPE) scale is a simple, but subjective tool to grade physical strain during exercise. As a result, it is widely used for the prescription of exercise intensity, especially for cardiovascular disease prevention. The purpose of this study was to assess and compare relationships between BRPE and physiological measures of exercise intensity during uphill walking indoors and outdoors. Methods: 134 healthy participants [median age: 56 years (IQR 52–63)] completed a maximal graded walking test indoors on a treadmill using the modified Bruce protocol, and a submaximal 1 km outdoor uphill cardio-trekking test (1 km CTT). Heart rate (HR) and oxygen consumption (V̇O2) were continuously measured throughout both tests. BRPE was simultaneously assessed at the end of each increment on the treadmill, while the maximal BRPE value was noted at the end of the 1 km CTT. Results: On the treadmill, BRPE correlated very high with relative HR (%HRmax) (ρ = 0.88, p < 0.001) and V̇O2 (%V̇O2max) (ρ = 0.89, p < 0.001). During the 1 km CTT, a small correlation between BRPE and %HRmax (ρ = 0.24, p < 0.05), respectively %V̇O2max was found (ρ = 0.24, p < 0.05). Conclusions: Criterion validity of BRPE during uphill walking depends on the environment and is higher during a treadmill test compared to a natural environment. Adding sensor-based, objective exercise-intensity parameters such as HR holds promise to improve intensity prescription and health safety during uphill walking in a natural environment.