The present study aimed to identify whether or not the release of interleukin (IL)-6 and soluble (s) IL-6 receptor (R) is associated with fatiguing behaviour and changes in cortical activity during self-paced exercise. Relationships between the IL-6 and its soluble receptors, total work, reductions in power output, and changes in slow, alpha (α) and fast, beta (β) brain waves during self-paced exercise were evaluated. Different intensities and environments were used to manipulate the release of IL-6, whereby seven active males cycled for 60 min in heat stress (HS) or thermoneutral (TN) environments at a clamped rating of perceived exertion (RPE) equating to low intensity (RPE = 12) or high intensity (RPE = 16). IL-6 and sIL-6R were positively associated with total work, but not with reductions in power output. There was greater α activity in high-intensity conditions, which was associated with the reduction in power output. Both high-intensity conditions appeared to have greater β activity, and there was a positive correlation between β activity and total work and β activity and sIL-6R. We conclude that IL-6 and sIL-6R may contribute to perturbations in cortical activity and are associated with total work output, but reductions in power output are likely influenced greater by other internal and external factors.