Placebo and nocebo effects are a factor in sports performance. However, the majority of published studies in sport science are descriptive and speculative regarding mechanisms. It is therefore not unreasonable for the sceptic to argue that placebo and nocebo effects in sport are illusory, and might be better explained by variations in phenomena such as motivation. It is likely that, in sport at least, placebo and nocebo effects will remain in this empirical grey area until researchers provide stronger mechanistic evidence. Recent research in neuroscience has identified a number of consistent, discrete and interacting neurobiological and physiological pathways associated with placebo and nocebo effects, with many studies reporting data of potential interest to sport scientists, for example relating to pain, fatigue and motor control. Findings suggest that placebos and nocebos result in activity of the opioid, endocannabinoid and dopamine neurotransmitter systems, brain regions including the motor cortex and striatum, and measureable effects on the autonomic nervous system. Many studies have demonstrated that placebo and nocebo effects associated with a treatment, for example an inert treatment presented as an analgesic or stimulant, exhibit mechanisms similar or identical to the verum or true treatment. Such findings suggest the possibility of a wide range of distinct placebo and nocebo mechanisms that might influence sports performance. In the present paper, we present some of the findings from neuroscience. Focussing on fatigue as an outcome and caffeine as vehicle, we propose three approaches that researchers in sport might incorporate in their studies in order to better elucidate mechanisms of placebo/nocebo effects on performance.