The aims of this review are to (1) summarise the current research of sports clothing as it relates to thermoregulation, comfort, and performance during exercise in the heat, (2) identify methodological limitations and gaps in the knowledge base of sports clothing, and (3) provide recommendations for exercise testing protocols to accurately assess the impact of sports clothing in athletic populations during exercise in the heat. Sports clothing consists of lightweight and breathable fabrics, surface treatments, and various designs which aim to enhance sweat evaporation and comfort during exercise in the heat. Sports clothing comprised of natural, synthetic, and chemically treated fabrics has been investigated during exercise of varying durations (15–120 min), intensities (20–70% VO2 max) and types (fixed intensity, incremental, self-paced), and in an array of climatic conditions (18–40 °C, 20–60% relative humidity). To date, few studies have identified significant differences in thermo-physiological, perceptual, and performance measures between natural and synthetic fabrics or compared the effect of chemical treatments to their non-treated equivalent on such measures during exercise. Collectively, previous wearer trials have failed to replicate the upper limit of training and competition demands when assessing sports clothing in endurance-trained individuals who regularly train and compete in hot and humid climates. Clothing comfort has also been evaluated using simple scales which fail to capture intricate detail pertaining to psychological and sensorial parameters. The incorporation of protocols using hot and humid climates (≥ 30 °C, ≥ 70% relative humidity) and longer exercise durations (> 45 min) is warranted. Future research should also consider exploring the effect of sports clothing on thermal, physiological, perceptual, and performance measures between males and females, and assessing clothing comfort using a multi-dimensional approach.