Although the motivational technique of goal setting has consistently and reliably improved performance in industrial psychology research, this beneficial effect has not been clearly demonstrated in the sport domain. The many proposed explanations for this discrepancy have resulted in a controversy in the literature. However, scientists have overlooked the importance of statistical power. A meta-analytic review of the literature investigating the effects of goal setting on performance in sport and exercise could help to clarify the state of knowledge. The meta-analytic procedures described by Hedges and Olkin (1985) were used to statistically combine 36 studies identified as meeting inclusion criteria. Results indicate that, overall, setting goals improves sport by 0.34 of a standard deviation. Moderate, absolute, and combined short- and long-term goals were associated with the greatest effects. Additional moderator variables were identified, and the extent to which they alter the goal setting–performance relationship is discussed.