Marching band (MB) artists are often part of the general student population and not required to complete a pre-participation health screening to identify predisposing medical conditions or risks for injury/illness. Anecdotally, exertional heat illnesses (EHI) are a concern for MB artists. As more athletic trainers provide MB healthcare, research is needed on EHI occurrence and MB associated EHI risk factors. We utilized an exploratory cross-sectional study design to determine EHI risk factors, including previous EHI occurrence, among collegiate MB artists. MB artists (n = 1 207; age = [19.6 ± 1.3] years) actively participating in their college/university's MB during the 2019 football season completed an online survey to characterize demographics, medical history, medication and supplement use, and nutrition behaviors. Chi-square and binomial logistical regressions assessed associations between categorical variables. Previous EHI was reported by 50.6% of MB artists, with 466 (76.3%) experiencing exertional heat exhaustion and 31 (5.1%) exertional heat stroke. More females reported exertional heat exhaustion overall (68.2%, p < 0.001) and in the previous year (73.3%, p < 0.001). Experiencing a previous EHI was significantly associated with having a mood/neurological condition (63.5%, p < 0.001), diagnosed (74.3%, p = 0.004) or perceived eating disorder (66.7%, p < 0.001), and taking prescription medications (59.4%, p < 0.001), over-the-counter medications (58.9%, p = 0.002), and supplements (55.4%, p = 0.037). Half of collegiate MB artists reported experiencing previous EHIs and engaged in behaviors known to increase EHI risk. MB artists should complete pre-participation examinations to identify pre-existing medical conditions and risks for adverse medical events. Healthcare providers working with MB artists should develop policies and procedures to mitigate EHI risks and occurrence.