By using deceptive experiments in which participants are informed that they received caffeine when, in fact, they received an inert substance (i.e., placebo), several investigations have demonstrated that exercise performance can be enhanced to a similar degree as a known caffeine dose. This ‘placebo effect’ phenomenon may be part of the mechanisms explaining caffeine’s ergogenicity in exercise. However, there is no study that has established whether the placebo effect of caffeine is also present for other benefits obtained with acute caffeine intake, such as enhanced fat oxidation during exercise. Therefore, the aim of this investigation was to investigate the placebo effect of caffeine on fat oxidation during exercise. Twelve young men participated in a deceptive double-blind cross-over experiment. Each participant completed three identical trials consisting of a step incremental exercise test from 30 to 80% of V.O2max. In the two first trials, participants ingested either 3 mg/kg of cellulose (placebo) or 3 mg/kg of caffeine (received caffeine) in a randomized order. In the third trial, participants were informed that they had received 3 mg/kg of caffeine, but a placebo was provided (informed caffeine). Fat oxidation rates were derived from stoichiometric equations. In received caffeine, participants increased their rate of fat oxidation over the values obtained with the placebo at 30%, 40%, 50%, and 60% of V.O2max (all p < 0.050). In informed caffeine, participants increased their rate of fat oxidation at 30%, 40%, 50% 60%, and 70% of V.O2max (all p < 0.050) over the placebo, while there were no differences between received versus informed caffeine. In comparison to placebo (0.32 ± 0.15 g/min), the rate of maximal fat oxidation was higher in received caffeine (0.44 ± 0.22 g/min, p = 0.045) and in informed caffeine (0.41 ± 0.20 g/min, p = 0.026) with no differences between received versus informed caffeine. However, the intensity at which maximal fat oxidation rate was obtained (i.e., Fatmax) was similar in placebo, received caffeine, and informed caffeine trials (42.5 ± 4.5, 44.2 ± 9.0, and 41.7 ± 10.5% of V.O2max, respectively, p = 0.539). In conclusion, the expectancy of having received caffeine produced similar effects on fat oxidation rate during exercise than actually receiving caffeine. Therefore, the placebo effect of caffeine is also present for the benefits of acute caffeine intake on substrate oxidation during exercise and it may be used to enhance fat oxidation during exercise in participants while reducing any risks to health that this substance may have.