He said he had a nosebleed and had run out of water but was told to continue despite a medic's advice to stop.
The soldier, known as 1W, later suffered kidney and heart damage.
The 16-mile (26km) march on 2013's hottest day resulted in the deaths of L/Cpl Craig Roberts, from Conwy, L/Cpl Edward Maher and Cpl James Dunsby.
All three died from overheating.
The soldier told a West Midlands inquest he was sick, had a nosebleed and had no water, but was told to carry on.
Known as 1W to protect his identity, the man said a medic had advised him to pull out of the hike, but another colleague told him to continue.
The soldier did so but admitted he was confused and his route was "sporadic".
He was later helped down the mountain by a walker and taken to hospital to recover from heart and kidney damage.
"If there was a chance I could finish this march, I wasn't going to question this decision making, I was going to finish it," he told the inquest.
"If I'm being told to continue, then I'll continue."
But when he was asked by the lawyer for the Ministry of Defence whether he could have been more frank with the medic, the soldier said: "I think so, yes."
The lawyer went on: "But nonetheless you were directed to continue? That can't be right, can it, because this is a voluntary course - you weren't ordered to continue were you?"
The soldier replied: "I was allowed to continue, I wasn't ordered, that is correct."
Earlier, an SAS reservist, known as 1X, said he did not think soaring temperatures would affect the march.
But he was later found unconscious by walkers who fed him food and water.
"I did feel fit and ready and I was fit, above average fitness certainlyâ€¦ I certainly didn't feel that the temperature was going to cause any problems," he said.
However, the soldier started to feel dizzy and was later fed water and chocolate by walkers who found him unconscious.
On Monday, the inquest heard an Army officer told the family of L/Cpl Roberts there would have been "too much paperwork" to cancel the march.
He allegedly made the remarks after relatives had viewed the soldier's body in the mortuary.
Criminal charges will not be brought over the deaths.
It was one of the hottest days of the year on 13 July 2013, with temperatures expected to hit 27C (80.6F). The soldiers were carrying 49lb (22kg) rucksacks.
The inquest, being heard in Solihull, is expected to last for up to four weeks and to examine risk-assessments, briefings and the amount of water given to soldiers before they set off.
Det Con David Gilbert, of Dyfed-Powys Police, told the inquest course information showed several soldiers were pulled off the march because of the heat.
The tracking data of those who died was also able to show exactly where they succumbed to conditions.
At least nine soldiers were recorded as having problems with the heat, including the three who died.
A soldier has claimed he was told to continue on an SAS selection exercise in the Brecon Beacons despite suffering from heat illness, an inquest heard.