Fatigue is related to a variety of chronic diseases and has become a hot research topic in recent years. Various bioactive components have been extracted from hairtail fish (Trichiurus lepturus); however, none of these studies involved the anti-fatigue activity of hairtail fish glycoprotein (HGP). Thus, antioxidant experiments were conducted in vitro, and the anti-fatigue activity of HGP was further evaluated in BALB/c mice. The effects of HGP on the behavior of BALB/c mice were verified by classical behavioral experiments, and the indicators related to anti-fatigue activity were detected. The results showed that the antioxidant capacity in vitro of HGP increased gradually in the concentration range of 10 to 100 mg/mL. HGP improved the exercise ability of the mice. HGP was also found to significantly (p < 0.05) reduce the serum levels of lactate dehydrogenase (LDH), blood lactic acid (BLA), blood urea nitrogen (BUN), and creatine kinase (CK). The contents of liver glycogen (LG) and muscle glycogen (MG) were also significantly (p < 0.05) increased by HGP. Malondialdehyde (MDA) content in the serum and brains of the mice was significantly (p < 0.05) reduced and catalase (CAT), glutathione peroxidase (GPX), and superoxide dismutase (SOD) were significantly (p < 0.05) increased by HGP, especially in the middle- and high-dose groups. These results enhance our understanding of the anti-fatigue function of HGP and lay an important foundation for the further development and utilization of hairtail fish resources.