Background: Foam rolling is a type of self-massage using tools such as foam or roller sticks. However, to date, there is no consensus on contraindications and cautions of foam rolling. A methodological approach to narrow that research gap is to obtain reliable opinions of expert groups. The aim of the study was to develop experts’ consensus on contraindications and cautions of foam rolling by means of a Delphi process. Methods: An international three-round Delphi study was conducted. Academic experts, defined as having (co-) authored at least one PubMed-listed paper on foam rolling, were invited to participate. Rounds 1 and 2 involved generation and rating of a list of possible contraindications and cautions of foam rolling. In round 3, participants indicated their agreement on contraindications and cautions for a final set of conditions. Consensus was evaluated using a priori defined criteria. Consensus on contraindications and cautions was considered as reached if more than 70% of participating experts labeled the respective item as contraindication and contraindication or caution, respectively, in round 3. Results: In the final Delphi process round, responses were received from 37 participants. Panel participants were predominantly sports scientists (n = 21), physiotherapists (n = 6), and medical professionals (n = 5). Consensus on contraindications was reached for open wounds (73% agreement) and bone fractures (84%). Consensus on cautions was achieved for local tissue inflammation (97%), deep vein thrombosis (97%), osteomyelitis (94%), and myositis ossificans (92%). The highest impact/severity of an adverse event caused by contraindication/cautions was estimated for bone fractures, deep vein thrombosis, and osteomyelitis. Discussion: The mechanical forces applied through foam rolling can be considered as potential threats leading to adverse events in the context of the identified contraindications and cautions. Further evaluations by medical professionals as well as the collection of clinical data are needed to assess the risks of foam rolling and to generate guidance for different applications and professional backgrounds.