Caffeine (1,3,7-trimethylxanthine) is one of the most common substances used by athletes to enhance their performance during competition. Evidence suggests that the performance-enhancing properties of caffeine can be obtained by employing several forms of administration, namely, capsules/tablets, caffeinated drinks (energy drinks and sports drinks), beverages (coffee), and chewing gum. However, caffeinated drinks have become the main form of caffeine administration in sport due to the wide presence of these products in the market. The objective of this systematic review is to evaluate the different effects of caffeinated drinks on physical performance in various sports categories such as endurance, power-based sports, team sports, and skill-based sports. A systematic review of published studies was performed on scientific databases for studies published from 2000 to 2020. All studies included had blinded and cross-over experimental designs, in which the ingestion of a caffeinated drink was compared to a placebo/control trial. The total number of studies included in this review was 37. The analysis of the included studies revealed that both sports drinks with caffeine and energy drinks were effective in increasing several aspects of sports performance when the amount of drink provides at least 3 mg of caffeine per kg of body mass. Due to their composition, caffeinated sports drinks seem to be more beneficial to consume during long-duration exercise, when the drinks are used for both rehydration and caffeine supplementation. Energy drinks may be more appropriate for providing caffeine before exercise. Lastly, the magnitude of the ergogenic benefits obtained with caffeinated drinks seems similar in women and men athletes. Overall, the current systematic review provides evidence of the efficacy of caffeinated drinks as a valid form for caffeine supplementation in sport.