Surface Electromyography (sEMG) enables an intuitive control of wearable robots. The muscle fatigue-induced changes of sEMG signals might limit the long-term usage of the sEMG-based control algorithms. This paper presents the performance deterioration of sEMG-based gait phase classifiers, explains the deterioration by analyzing the time-varying changes of the extracted features, and proposes a training strategy that can improve the classifiers’ robustness against muscle fatigue. In particular, we first select some features that are commonly used in fatigue-related studies and use them to classify gait phases under muscle fatigue. Then, we analyze the time-varying characteristics of extracted features, with the aim of explaining the performance of the classifiers. Finally, we propose a training strategy that effectively improves the robustness against muscle fatigue, which contributes to an easy-to-use method. Ten subjects performing prolonged walking are recruited. Our study contributes to a novel perspective of designing gait phase classifiers under muscle fatigue.