Dietary astaxanthin supplementation has been demonstrated to have many beneficial and health-promoting effects. The purpose of this systematic review and meta-analysis was to assess the effect of astaxanthin supplementation on fatigue, cognition, and exercise efficiency. A total of 11 randomized controlled trials (RCTs) with 346 healthy participants were included. The random effects model and pooled standardized mean difference (SMDs) were used according to Hedge’s g for the meta-analysis, and a meta-regression was also conducted. The results of the two existing studies showed a positive trend for astaxanthin in subjective fatigue relief. The effects of astaxanthin supplementation for 8–12 weeks on cognitive accuracy were marginally significant (SMD: .12; 95% CI: −.02–.26) and on reaction time was not significant (SMD: −.08; 95% CI: −.26 to .10). Remarkably, astaxanthin supplementation combined with regular training could enhance the fat oxidation (SMD: 2.56; 95% CI: 1.24–3.89), and significantly improve the physical performance (SMD: .62; 95% CI: .17–1.06). The subgroup analysis further showed significantly greater benefits when performing the aerobic exercises performance (SMD: .45; 95% CI: .13–.76), when the dose was ≥ 20 mg (SMD: .37; 95% CI: .11–.63), and when the supplementation duration was > 12 weeks (SMD: .66; 95% CI: .13–.63). We conclude that astaxanthin supplementation could significantly enhance aerobic exercise efficiency, especially at higher doses and for longer durations. Further studies based on large sample sizes are imperatively warranted.