Recent years have brought about new understandings regarding the pathogenesis of anemia in sports. From hemodilution and redistribution considered to contribute to the so-called “sports anemia” to iron deficiency caused by increased demands, dietary restrictions, decreased absorption, increased losses, hemolysis, and sequestration, to genetic determinants of different types of anemia (some related to sport), the anemia in athletes deserves a careful and multifactorial approach. Dietary factors that reduce iron absorption (e.g., phytate, polyphenols) and that augment iron’s bioavailability (e.g., ascorbic acid) should be considered. Celiac disease, more prevalent in female athletes, may underlie an unexplained iron deficiency anemia. Iron loss during exercise occurs in several ways: sweating, hematuria, gastrointestinal bleeding, inflammation, and intravascular and extravascular hemolysis. From a practical point of view, assessing iron status, especially in the athletes at risk for iron deficiency (females, adolescents, in sports with dietary restrictions, etc.), may improve the iron balance and possibly the performance. Hemoglobin and serum ferritin are measures that are easily employable for the evaluation of patients’ iron status. Cutoff values should probably be further assessed with respect to the sex, age, and type of sport. A healthy gut microbiome influences the iron status. Athletes at risk of iron deficiency should perform non-weight-bearing, low-intensity sports to avoid inducing hemolysis.