This research presents a machine learning modeling process for detecting mental fatigue using three physiological signals: electrodermal activity, electrocardiogram, and respiration. It follows the conventional machine learning modeling pipeline, while emphasizing the significant contribution of the feature selection process, resulting in, not only a high-performance model, but also a relevant one. The employed feature selection process considers both statistical and contextual aspects of feature relevance. Statistical relevance was assessed through variance and correlation analyses between independent features and the dependent variable (fatigue state). A contextual analysis was based on insights derived from the experimental design and feature characteristics. Additionally, feature sequencing and set conversion techniques were employed to incorporate the temporal aspects of physiological signals into the training of machine learning models based on random forest, decision tree, support vector machine, k-nearest neighbors, and gradient boosting. An evaluation was conducted using a dataset acquired from a wearable electronic system (in third-party research) with physiological data from three subjects undergoing a series of tests and fatigue stages. A total of 18 tests were performed by the 3 subjects in 3 mental fatigue states. Fatigue assessment was based on subjective measures and reaction time tests, and fatigue induction was performed through mental arithmetic operations. The results showed the highest performance when using random forest, achieving an average accuracy and F1-score of 96% in classifying three levels of mental fatigue.