This paper presents the first two studies to explore the effect of challenge and threat states on endurance exercise capabilities. In study one, relationships between cardiovascular markers of challenge and threat states, ratings of perceived exertion (RPE), and exercise tolerance were explored during moderate- and severe-intensity cycling. Cardiovascular reactivity more reflective of a challenge state (i.e., relatively higher cardiac output and/or lower total peripheral resistance reactivity) predicted lower RPE throughout moderate- but not severe-intensity cycling. Building on these findings, study two experimentally manipulated participants into challenge, threat, and neutral groups, and compared 16.1 km time-trial performances, where pacing is self-regulated by RPE. Participants completed familiarisation, control, and experimental visits while physiological (oxygen uptake), perceptual (RPE), and performance-based (time to completion [TTC] and power output [PO]) variables were assessed. When compared to the threat group, the challenge group demonstrated cardiovascular responses more indicative of a challenge state, and delivered faster early-race pacing (PO) at similar RPE. Although there were no significant differences in TTC, results revealed that augmentations in PO for the challenge group were facilitated by tempered perceptions of fatigue. The findings suggest that an individual’s pre-exercise psychophysiological state might influence perceived exertion and endurance exercise capabilities.