Most combat sports (CS) are structured in weight categories, and it is very common to carry out body weight adjustment strategies in order to compete in lower weight categories. For this reason, different rapid weight loss (RWL) strategies are usually performed to pass the pre-competition weigh-in test, and then a replenishment of fluids and carbohydrate-rich foods is conducted in an attempt to recover the weight and avoid a performance loss. In this context, no clear references have been found on whether these types of strategies have negative effects, impairing the athlete’s combat and/or physical performance. For this reason, the aim of this study was to review the scientific literature on the effect of rapid weight reduction strategies on the performance of CS athletes. A literature search was performed through four different databases (PubMed, SPORTDiscus, Web of Science and ScienceDirect). Four inclusion criteria were established as follows: (1) the subjects had to be competitors in the CS and carry out RWL strategies; (2) at least two measurement points, that is, normal conditions and dehydration condition; (3) measurements in a real competition or simulating the same conditions; (4) original research articles written in English or Spanish and available in full text. Finally, a total of 16 articles were finally included in this research. All subjects (n = 184) were athletes from combat disciplines, with a minimum of 3–4 years of practice, as well as with certain experience in RWL. Six of the studies reported that an RWL strategy of around 5% of body weight loss did not affect performance parameters. However, the other ten studies with RWL between 3 and 6% or even higher reported negative effects or impairments on different parameters related to performance and/or athlete’s psychophysiology, such as perceived fatigue, mood states, strength and power production, as well as changes in hormonal, blood and urine parameters, body composition, or the kinematics of the technical gesture. Although there is still no clear answer to the issue approached in this research, in general terms, it seems that in order to guarantee an acceptable athletic performance of the competitor, the weight loss should not exceed 3% to ≤5% of body weight together with ≥24 h for adequate (or at least partial) recovery and rehydration processes. In addition, it is highly recommended to lose weight progressively over several weeks, especially focusing on competitions lasting several days, as well as multiple rounds or qualifying stages.