Equine and human athletic endeavour often requires near-maximal rates of aerobic metabolism. It, therefore, follows that any practical method of increasing the aerobic contribution to exercise should be of benefit to athletic performance. Prior ‘warm-up’ exercise is widely advocated before exercise performance in order to ‘prime’ the physiological mechanisms of power generation and energy supply. In the present review, we examine evidence that prior exercise, in both the horse and the human, results in marked increases in O2 supply and utilization during subsequent intense exercise. Much of this evidence stems from the study of pulmonary oxygen uptake dynamics and the related concepts of oxygen deficit and critical power. We, therefore, also review the effect of prior exercise in light of the exercise intensity domains in which the prior and subsequent exercise performances take place. Recent evidence suggests that both moderate and heavy exercise should improve subsequent severe exercise performance in both species by ∼2–3%, although much work remains to be done to establish the ‘optimal’ warm-up regime(s).