People who practice outdoor sports have an increased risk of skin cancer as they are exposed to high doses of ultraviolet (UV) radiation. Recent studies have shown that in many athletes, sun protection behaviours are inadequate, with the risk that this entails. The aim of this review is to collect the information published to date about the knowledge, attitudes and habits of athletes in relation to sun exposure and its risks. A systematic review was conducted using PubMed and Embase with the search algorithm “(skin cancer OR melanoma) AND (exercise OR sport OR athletes)”. All studies analysing the knowledge, attitudes and habits of photoprotection in athletes were included. A total of 2,365 publications were found, of which 23 were selected, including a total of 10,445 sportspeople. The majority of participants declared their voluntary intention to tan and stated that the sun made them feel better, although they also showed concern about possible damage associated with UV radiation. In most studies, less than half of the participants made adequate use of photoprotective measures. In general, most athletes had a high level of knowledge regarding the risk of skin cancer associated with sun exposure. In conclusion, most athletes are aware of the risks associated with UV radiation but do not make adequate use of photoprotective cream. New training programs on photoprotection could help improve athletes’ photoprotective behaviour, reducing the incidence of skin cancer and precancerous lesions in this population.