Infrared thermography (IRT) allows to evaluate the psychophysiological state associated with emotions from facial temperature modulations. As fatigue is a brain-derived emotion, it is possible to hypothesize that facial temperature could provide information regarding the fatigue related to exercise. The aim of this study was to investigate the capability of IRT to assess the central and peripheral physiological effect of fatigue by measuring facial skin and muscle temperature modulations in response to a unilateral knee extension exercise until exhaustion. Rate of perceived exertion (RPE) was recorded at the end of the exercise. Both time- (∆TROI: pre–post exercise temperature variation) and frequency-domain (∆PSD: pre–post exercise power spectral density variation of specific frequency bands) analyses were performed to extract features from regions of interest (ROIs) positioned on the exercised and nonexercised leg, nose tip, and corrugator. The ANOVA-RM revealed a significant difference between ∆TROI (F(1.41,9.81) = 15.14; p = 0.0018), and between ∆PSD of myogenic (F(1.34,9.39) = 15.20; p = 0.0021) and neurogenic bands (F(1.75,12.26) = 9.96; p = 0.0034) of different ROIs. Moreover, significant correlations between thermal features and RPE were found. These findings suggest that IRT could assess both peripheral and central responses to physical exercise. Its applicability in monitoring the psychophysiological responses to exercise should be further explored.