Nearly 30% of the approximately 700,000 military personnel who served in Operation Desert Storm (1990–1991) have developed Gulf War Illness, a condition that presents with symptoms such as cognitive impairment, autonomic dysfunction, debilitating fatigue and chronic widespread pain that implicate the central nervous system. A hallmark complaint of subjects with Gulf War Illness is post-exertional malaise; defined as an exacerbation of symptoms following physical and/or mental effort. To study the causal relationship between exercise, the brain, and changes in symptoms, 28 Gulf War veterans and 10 controls completed an fMRI scan before and after two exercise stress tests to investigate serial changes in pain, autonomic function, and working memory. Exercise induced two clinical Gulf War Illness subgroups. One subgroup presented with orthostatic tachycardia (n = 10). This phenotype correlated with brainstem atrophy, baseline working memory compensation in the cerebellar vermis, and subsequent loss of compensation after exercise. The other subgroup developed exercise induced hyperalgesia (n = 18) that was associated with cortical atrophy and baseline working memory compensation in the basal ganglia. Alterations in cognition, brain structure, and symptoms were absent in controls. Our novel findings may provide an understanding of the relationship between the brain and post-exertional malaise in Gulf War Illness.