Wheat germ protein including wheat embryo albumin (WEA) demonstrates extensive biological activity. In vitro dynamic digestion of WEA was carried out under simulated gastrointestinal conditions. Anti-fatigue effects of WEA were evaluated using mice forced to swim. Results indicated that the digestibility of WEA decreased, antioxidant activity and the contents of aromatic amino acids (AAA) and hydrophobic amino acids (HAA) were significantly increased, and the ratio of essential amino acid (EAA) and non-essential amino acid (NEAA) were also changed during digestion. WEA significantly prolonged swimming time, reduced the accumulation of lactate dehydrogenase (LDH), blood urea nitrogen (BUN), and creatine kinase (CK). WEA also increased glycogen storage in liver and muscle. Meanwhile, WEA revealed antioxidant activity through enhancing the activities of superoxide dismutase (SOD) and glutathione peroxidase (GSH-Px) while decreasing the level of malondialdehyde (MDA). Notably, WEA enhanced the mRNA expression of mitochondrial biogenesis factors in the skeletal muscles of the mice. Therefore, WEA is suitable for preparation of energy foods with attractive anti-fatigue and health benefits.