Excessive exercise leads to body fatigue and destroys the balance of the oxidation/oxidation resistance system in the body, thus damaging the central nervous system and reducing learning and memory ability. Nrf2 is an important transcription factor that regulates the cell oxidative stress response. Therefore, the research and development of natural antioxidants with the effect of regulating Nrf2-related signalling pathways to improve central fatigue caused by body fatigue has application value. Methods and results: Cordyceps militaris polysaccharides were extracted, isolated and purified via DEAE-cellulose 52 and Sepharose CL-6B columns to obtain two saccharides, Cordyceps militaris acidic polysaccharides (CMPB) and CMPB-b. The results of behavioural tests showed that compared with the model group, the learning and memory abilities of the CMPB-H group (800 mg/kg) mice were remarkably improved in the dark avoidance and Morris water maze tasks (p < 0.01), and the levels of fatigue metabolites and oxidative stress in the body were obviously decreased (p < 0.01). The expression level of BDNF, PI3K, Nrf2 and HO-1 proteins in the hippocampus were significantly increased (p < 0.01). In vitro experiments, compared with the PC12 oxidative stress model group, CMPB-b high-dose group (100 μg/mL) had remarkably improved oxidative stress. CMPB-b also obviously promoted the phosphorylation of PI3K and AKT proteins (p < 0.01) and the nuclear translocation of Nrf2 (p < 0.01), and significantly increased the expression of HO-1 (p < 0.01). Conclusion: CMPB can alleviate the fatigue state of high-intensity swimming mice and improve the learning and memory impairment of exercise-fatigue mice by regulating the Nrf2-related signalling pathway. Its antioxidant active component CMPB-b exerts in vitro antioxidative neurological damage by the same mechanism. Our systematic studies provide strong supporting evidence for the future use of Cordyceps militaris acidic polysaccharides in health products to improve resistance to fatigue.