The purpose of this study was to assess the effect of an incremental test to exhaustion on sensory sensitivity using critical flicker fusion (CFF) frequency. The CFF threshold, tympanic temperature, and heart rate were measured before and immediately after an incremental cycling test of maximal oxygen uptake. Deterioration in perceptual processes linked to fatigue were not observed in the present study. On the contrary, results indicated that incremental exhausting exercise increases the sensory sensitivity threshold, thereby suggesting an exercise-induced increase in cortical arousal. Furthermore, the absence of change in subjective judgment threshold suggests that change observed immediately after exercise was not linked to a change of strategy (more cautious or more risky). The CFF threshold protocols appear to be relevant for assessing the effect of exercise on sensory sensitivity and cortical arousal.