The welfare consequences of long-distance transportation of animals remain a controversial topic. Animals that stand for most of the long journey (especially if additional muscular activity is required to deal with postural instability) are at risk of developing fatigue. Previous observational studies of behaviour and physiology suggested either that sheep do not become markedly fatigued by long journeys or that previous methods did not adequately identify fatigue. A range of behavioural and physiological measures were made on eight pairs of sheep during and after treadmill exercise. Within each pair of sheep, a treatment sheep was walked on a treadmill at 0.5 m/s for up to 5 h or until the sheep voluntarily stopped exercising or showed other signs of reduced performance, and a control sheep was exercised for two 10-min periods on either side of the exercise period for the treatment sheep. With the exception of one sheep that only walked for 4.5 h, all treatment sheep walked for 5 h without apparent difficulty. After exercise, the plasma cortisol concentration of treatment sheep was significantly greater than that of control sheep. However, there were no significant treatment effects on plasma creatine kinase activity or blood lactate concentration. After 5 h of exercise, there was a proportionate decrease in the median frequency of the electromyogram recorded over the m. semitendinosus, and this was significantly different from control sheep. There was no evidence that treatment sheep lay down sooner or for longer after treadmill exercise than controls. In sheep tested in a maze to examine whether there was increased motivation to rest after exercise, there was no significant difference between the times taken by treatment and control sheep to obtain a food reward. Qualitative behavioural assessment of the sheep by a panel of observers identified two main dimensions of sheep demeanour, but among descriptors elicited from observers only one person used a term associated with fatigue. No significant difference was found between the scores of treatment and control sheep on these two demeanour dimensions. Thus, there was little evidence that prolonged gentle walking exercise fatigues sheep. Further development of methods to both repeatedly induce and to identify fatigue in sheep is required.