Prescribing the frequency, duration, or volume of training is simple as these factors can be altered by manipulating the number of exercise sessions per week, the duration of each session, or the total work performed in a given time frame (e.g., per week). However, prescribing exercise intensity is complex and controversy exists regarding the reliability and validity of the methods used to determine and prescribe intensity. This controversy arises from the absence of an agreed framework for assessing the construct validity of different methods used to determine exercise intensity. In this review, we have evaluated the construct validity of different methods for prescribing exercise intensity based on their ability to provoke homeostatic disturbances (e.g., changes in oxygen uptake kinetics and blood lactate) consistent with the moderate, heavy, and severe domains of exercise. Methods for prescribing exercise intensity include a percentage of anchor measurements, such as maximal oxygen uptake (V ˙ O 2max), peak oxygen uptake (V ˙ O 2peak), maximum heart rate (HRmax), and maximum work rate (i.e., power or velocity—W ˙ max or V ˙ max, respectively), derived from a graded exercise test (GXT). However, despite their common use, it is apparent that prescribing exercise intensity based on a fixed percentage of these maximal anchors has little merit for eliciting distinct or domain-specific homeostatic perturbations. Some have advocated using submaximal anchors, including the ventilatory threshold (VT), the gas exchange threshold (GET), the respiratory compensation point (RCP), the first and second lactate threshold (LT1 and LT2), the maximal lactate steady state (MLSS), critical power (CP), and critical speed (CS). There is some evidence to support the validity of LT1, GET, and VT to delineate the moderate and heavy domains of exercise. However, there is little evidence to support the validity of most commonly used methods, with exception of CP and CS, to delineate the heavy and severe domains of exercise. As acute responses to exercise are not always predictive of chronic adaptations, training studies are required to verify whether different methods to prescribe exercise will affect adaptations to training. Better ways to prescribe exercise intensity should help sport scientists, researchers, clinicians, and coaches to design more effective training programs to achieve greater improvements in health and athletic performance.