Mackerel protein hydrolysate (MPH) was purified through ultrafiltration membranes, and its effect and mechanism for anti-fatigue were investigated in mice. The result showed that MPH (<2.5 kDa) had effective free radical scavenging activities. Moreover, the MPH groups could significantly prolong exhaustion swimming time compared to the normal and other groups. The liver glycogen level was markedly increased by 33–35% and the BUN (16–17%), LA (14–19%) and MDA (16–31%) levels were decreased in the MPH group compared to that of the control group. In addition, MPH improved enzymatic antioxidant system by increasing the activities of SOD and GSH-Px. This study exhibited possible anti-fatigue mechanism of MPH, as follows: first, the MPH could supplement the concentration of blood glycogen and eliminate metabolites, which were related to fatigue; second, MPH with free radical scavenging ability could enhance the activities of antioxidant enzymes, which could alleviate fatigue.