We present a detailed experimental study of the velocity distribution of atoms cooled in an optical lattice. Our results are supported by full-quantum numerical simulations. Even though the Sisyphus effect, the responsible cooling mechanism, has been used extensively in many cold atom experiments, no detailed study of the velocity distribution has been reported previously. For the experimental as well as for the numerical investigation, it turns out that a Gaussian function is not the one that best reproduce the data for all parameters. We also fit the data to alternative functions, such as Lorentzians, Tsallis functions and double Gaussians. In particular, a double Gaussian provides a more precise fitting to our results.