Wheat embryo albumin (WEA), rich in amino acids with a good balanced proportion, demonstrates plentiful biological activities. The effects of WEA and its peptide with the best antioxidant ability (F3) as a post-workout and pre-workout energy supplement on alleviating acute exercise fatigue were investigated. Under two experimental cases, the exhaustion-to-death swimming time and exhaustion swimming time were determined. Fatigue-related biochemical indexes including lactate dehydrogenase (LDH), the level of blood urea nitrogen (BUN), alanine transaminase (ALT), aspartate transaminase (AST), liver glycogen (LG), and muscle glycogen (MG) were measured with commercial kits. Antioxidant capacity in vivo was analyzed by determining the content of malondialdehyde (MDA), the level of glutathione (GSH), and the activity of superoxide dismutase (SOD) based on colorimetric methods. The results indicated that administration of WEA and F3 post-workout or pre-workout significantly prolonged exhaustive swimming time ( < 0.05) and increased the levels of glycogen in the liver and muscle of mice ( < 0.05). Meanwhile, WEA and F3 significantly reduced the activities of ALT, AST, and LDH and the level of BUN compared with the ones of mice in an exercise fatigue model ( < 0.05). Additionally, in comparison with the model group, supplements of WEA and F3 obviously decreased the content of MDA while enhancing the activity of SOD and the level of GSH both in the liver and muscle of mice. These results demonstrated that WEA and F3 can mitigate exercise fatigue and are conducive to recovery from fatigue in exhausted mice. It suggests that WEA and its peptide F3 could be a promising energy supplementary material against fatigue caused by continuous or high-intensity exercise.