The aim of this systematic review is to study the effects of Astragalus membranaceus (Huangqi) supplementation for sports activity and physical performance. PubMed, EMBASE, Web of Science, Cochrane Library, and Google Scholar were systematically searched for relevant studies from inception up until October 2023. Eleven clinical studies were considered eligible for inclusion (six of them involved the administration of Huangqi alone, while, in the remaining trials, this herb was supplemented in combination with other remedies). On average, the number of study participants ranged from 8 to 120, and the sports activities practiced by the subjects included martial arts, mountain hiking, basketball, rowing, running, aerobic exercises, and strength training. When a dried extract was used, Astragalus was taken at a daily dose of 1 to 4 g for several weeks. Huangqi supplementation was associated with improvements in aerobic performance, oxidative status, reticulocytes percentage, and response to acclimatization, without a specific effect on the athletes’ strength. Better post-exercise immune functions were also observed, especially with regard to NK cell activity, IL-2 levels, CD4+/CD8+ ratio, and lymphocyte turnover. No adverse effects were described. In conclusion, Astragalus supplementation has the potential to decrease fatigue, enhance aerobic performance, and mitigate post-exercise immune suppression in athletes. It is advisable to conduct additional research on the subject to enhance the robustness of the existing evidence through larger-scale controlled trials.