Short-term heat acclimation (HA) appears adequate for maximizing sudomotor adaptations and enhancing thermal resilience in trained athletes. However, for enhanced erythropoiesis and transfer effects to exercise capacity in cooler environments, prolonged HA appears necessary. To establish the time-course for physiological adaptations and performance effects, 20 male elite cyclists were divided into an intervention group (HEAT; n = 10) completing 5 weeks of HA (six one-hour HA-training sessions per week) and control (n = 10) tested pre and post in hot (40°C) and cool conditions (20°C). HEAT completed tests at 40°C every week during HA with measures of sweat rate and [Na⁺] and a decay test 2 weeks after termination of HA. HEAT improved time for exhaustion by 15 min (p < 0.001) in the 40°C test, increased sweat rate by 0.44 L/hour (p < 0.001), and lowered sweat sodium concentration [Na⁺] by 14.1 mmol/L (p = 0.006) from pre- to post-HA, with performance returning to pre-HA levels in the 2-week decay test. Total hemoglobin mass (tHb_mass) was increased by 30 grams (+3%, p = 0.048) after 3 weeks and 40 grams (+4%, p = 0.038) after 5 weeks in HEAT but returned to pre-HA levels at the 2-week decay test. HEAT improved incremental peak power output (+12 W, p = 0.001) without significant changes in maximal oxygen uptake (p = 0.094). In conclusion, improvements in heat exercise tolerance and sudomotor adaptations materialized during the first ~3 weeks and the entire 5 weeks of HA augmented both cool exercise capacity and tHb_mass. However, the 2-week post-HA evaluation demonstrated a rapid decay of physiological adaptations and exercise capacity in the heat.