Fatty-acid composition of fat stores affects exercise performance in a variety of vertebrates although few such studies focus on flying vertebrates such as migratory birds, which are exceptional exercisers. We first discuss the natural variation in quality of fat available in natural foods eaten by migratory birds and their behavioral preferences for specific fatty acids in these foods. We then outline three proposed hypotheses for how dietary fatty acids can affect exercise performance, and some of the evidence to date that pertains to these hypotheses with special emphasis on the exercise performance of migratory birds. In theory, selectively feeding on certain long-chain unsaturated fatty acids may be advantageous because (1) such fatty acids may be metabolized more quickly and may stimulate key facets of aerobic metabolism (fuel hypothesis); (2) such fatty acids may affect composition and key functions of lipid-rich cell membranes (membrane hypothesis); and (3) such fatty acids may directly act as signaling molecules (signal hypothesis). Testing these hypotheses requires cleverly designed experiments that can distinguish between them by demonstrating that certain fatty acids stimulate oxidative capacity, including gene expression and activity of key oxidative enzymes, and that this stimulation changes during exercise.