Placebos have been found to affect a number of pathological processes and physiological functions through expectations of clinical improvement. Recently, the study of the placebo effect has moved from the clinical to the physical performance setting, wherein placebos can boost performance by increasing muscle work and by decreasing perceived exertion. However, nothing is known about the neurobiological underpinnings of this phenomenon. Here we show for the first time that a placebo, which subjects believed to be endurance‐increasing caffeine, reduces fatigue by acting at the central level on the preparatory phase of movement. In fact, we recorded the readiness potential, which is the expression of the preparatory phase of movement at the level of the supplementary motor area, during repeated flexions of the index finger in a control group that did not receive any treatment and in a placebo group that received placebo caffeine. In the control group, as the number of flexions increased, both fatigue and readiness potential amplitude increased. By contrast, in the placebo group, as the number of flexions increased we found a decrease in perceived exertion along with no increase in readiness potential amplitude. This placebo‐induced modulation of the readiness potential suggests that placebos reduce fatigue by acting centrally during the anticipatory phase of movement, thus emphasizing the important role of the central nervous system in the generation of fatigue.