The purpose of this study was to compare the effects of a cooling strategy designed to predominately lower thermal state with a strategy designed to lower thermal sensation on endurance running performance and physiology in the heat. Eleven moderately trained male runners completed familiarization and three randomized, crossover 5-km running time trials on a non-motorized treadmill in hot conditions (33 °C). The trials included ice slurry ingestion before exercise (ICE), menthol mouth rinse during exercise (MEN), and no intervention (CON). Running performance was significantly improved with MEN (25.3 ± 3.5 min; P = 0.01), but not ICE (26.3 ± 3.2 min; P = 0.45) when compared with CON (26.0 ± 3.4 min). Rectal temperature was significantly decreased with ICE (by 0.3 ± 0.2 °C; P < 0.01), which persisted for 2 km of the run and MEN significantly decreased perceived thermal sensation (between 4 and 5 km) and ventilation (between 1 and 2 km) during the time trial. End-exercise blood prolactin concentration was elevated with MEN compared with CON (by 25.1 ± 24.4 ng/mL; P = 0.02). The data demonstrate that a change in the perception of thermal sensation during exercise from menthol mouth rinse was associated with improved endurance running performance in the heat. Ice slurry ingestion reduced core temperature but did not decrease thermal sensation during exercise or improve running performance.