Background/Objectives: With the rapid expansion of the global sports market, the significance of sports sponsorship has attracted growing attention. However, during the golden age of the sports industry’s development in China, international sports brand giants such as Nike, Adidas, and Under Armour have rapidly captured a substantial share of the Chinese sports consumer market through their distinctive product designs and varied marketing strategies. This has resulted in a highly competitive environment for China’s sports goods industry. Therefore, fostering the improved development of domestic sports brands has become a crucial issue deserving of thorough scholarly investigation. This study examines how consumers’ differing levels of sports involvement and the degree of fit between the sponsoring brand and the sponsored event affect their cognitive and emotional responses to sports sponsorships. Methods: By employing Predictive Coding Theory and ERP (event-related potential) brainwave technology, this study delves into the psychological and neurobiological levels to analyze the impact of consumer sports involvement on the processing of sponsorship information. Results: The results indicate significant differences in cognitive and emotional responses between high-involvement and low-involvement consumers. Additionally, the fit between the sponsoring brand and the sponsored event also significantly affects consumers’ cognitive and emotional responses. These differences stem from consumers’ complex and sophisticated predictive coding models. Conclusions: This study not only provides scientific evidence for sports brands in selecting and executing sponsorship activities, but also offers new perspectives for evaluating and optimizing sponsorship effectiveness.