Athletes are exposed to high-intensity loads to promote athletic performance, however without appropriate evaluation for its effects. This study investigates the effects of four types of exhaustion exercises on Heart Rate Variability (HRV) and Poincaré features as markers of central fatigue; Creatine Kinase (CK) and blood lactate concentrations ([LA-]b) as biomarkers of peripheral fatigue. To achieve this purpose, ten healthy volunteers were exposed to exhaustive exercise using isotonic-, isometric-, aerobic-, and anaerobic-fatigue protocols. HRV Poincaré features, standard deviation of instantaneous beat-to-beat R-R interval variability (SD1) and standard deviation of continuous long-term R-R interval variability (SD2) variables were collected. Central fatigue was tested through the sympathetic stress index (SS) and the sympathetic and parasympathetic index (SS/SD1). Blood samples were collected at the beginning and at the end of the exercises to determine CK and [LA-]b. The SD1 decreased in each exercise protocol, while the SS and SS/SD1 increased. [LA-]b and CK increased at the end of each protocol and correlated with SD1 and SS/SD1. HRV, CK, and [LA^-]_b are acute markers to detect, both central and peripheral fatigue; sensitive to the type, duration, and intensity of exercise, being HRV a novel noninvasive marker, simple and useful for sports coaches and athletes.