Self-paced exercise protocols have gained attention for their potential to optimize performance and manage fatigue by allowing individuals to regulate their efforts based on perceived exertion. This pilot study aimed to investigate the neural and physiological responses during a self-paced V˙O2max (SPV) and incremental exercise tests (IET). Six trained male cyclists (mean age 39.2 ± 13.3 years; V˙O2max 54.3 ± 8.2 mL·kg−1·min−1) performed both tests while recording their brain activity using electroencephalography (EEG). The IET protocol involved increasing the power every 3 min relative to body weight, while the SPV allowed participants to self-regulate the intensity using ratings of perceived exertion (RPE). Gas exchange, EEG, heart rate (HR), stroke volume (SV), and power output were continuously monitored. Statistical analyses included a two-way repeated measures ANOVA and Wilcoxon signed-rank tests to assess differences in alpha and beta power spectral densities (PSDs) and the EEG/V˙O2 ratio. Our results showed that during the SPV test, the beta PSD initially increased but stabilized at around 80% of the test duration, suggesting effective management of effort without further neural strain. In contrast, the IET showed a continuous increase in beta activity, indicating greater neural demand and potentially leading to an earlier onset of fatigue. Additionally, participants maintained similar cardiorespiratory parameters (V˙O2, HR, SV, respiratory frequency, etc.) across both protocols, reinforcing the reliability of the RPE scale in guiding exercise intensity. These findings suggest that SPV better optimizes neural efficiency and delays fatigue compared to fixed protocols and that individuals can accurately control exercise intensity based on perceived exertion. Despite the small sample size, the results provide valuable insights into the potential benefits of self-paced exercise for improving adherence to exercise programs and optimizing performance across different populations.