In this review we examine how self-paced performance is affected by environmental heat stress factors during cycling time trial performance as well as considering the effects of exercise mode and heat acclimatization. Mean power output during prolonged cycling time trials in the heat (≥30°C) was on average reduced by 15% in the 14 studies that fulfilled the inclusion criteria. Ambient temperature per se was a poor predictor of the integrated environmental heat stress and 2 of the prevailing heat stress indices (WBGT and UTCI) failed to predict the environmental influence on performance. The weighing of wind speed appears to be too low for predicting the effect for cycling in trained acclimatized subjects, where performance may be maintained in outdoor time trials at ambient temperatures as high as 36°C (36°C UTCI; 28°C WBGT). Power output during indoor trials may also be maintained with temperatures up to at least 27°C when humidity is modest and wind speed matches the movement speed generated during outdoor cycling, whereas marked reductions are observed when air movement is minimal. For running, representing an exercise mode with lower movement speed and higher heat production for a given metabolic rate, it appears that endurance is affected even at much lower ambient temperatures. On this basis we conclude that environmental heat stress impacts self-paced endurance performance. However, the effect is markedly modified by acclimatization status and exercise mode, as the wind generated by the exercise (movement speed) or the environment (natural or fan air movement) exerts a strong influence.