Compression garments are becoming increasingly popular among sportspeople who wish to improve performance and reduce their exercise discomfort and risk of injury. However, evidence for such effects is scarce. This paper presents the evidence following a review of the literature evaluating the effects of the application of compression garments on sports performance and recovery after exercise. The literature reviewed was the result of a search on the Web of Science, PubMed, and SPORTDiscus electronic databases for studies which analysed the effect of compression garments on physiological, psychological, and biomechanical parameters during and after exercise. These search criteria were met by 40 studies. Most studies do not demonstrate any beneficial effect on performance, immediate recovery, or delay in the appearance of muscle pain. They do, however, show a positive trend towards a beneficial effect during recovery: the subsequent performance improved in five of the eight studies where it was measured, and the perception of muscle damage was reduced in five of six studies. In summary, the use of compression garments during recovery from exercise appears to be beneficial, although the factors explaining this efficacy have yet to be established. No adverse effects of the use of compression garments have been demonstrated.