This paper investigates the self-heating effect observed during testing ultra-high molecular weight polyethylene (UHMWPE) fibres and their composites, in particular Dyneema® SK76 fibres and Dyneema® HB26 laminates. Monotonic and cyclic tests were carried out at strain rates between 0.00833 s−1 and 250 s−1, frequencies up to 20 Hz, and different mean stress, amplitude stress and stress ratios to evaluate the self-heating effect developing in the materials. Measurements of the specimen’s temperature were carried out using a thermochromic liquid crystal paint and an infrared sensor. Experimental results showed that the temperature increased during fibre testing by as much as 13.2 ± 0.2 °C and, even though the maximum temperature was below the melting temperature of the material, melting was observed. Tension-tension cyclic tests showed that the fatigue life of the coupon specimens significantly depended on the testing conditions. In some cases, the measured temperature was as high as 102 ± 1 °C. Depending on the fatigue parameters, the laminates showed two different types of failure modes: mechanical or thermal. Hence, it is important to take into account self-heating effects when designing engineering parts reinforced with UHMWPE fibres.