Background/Objectives: Sports supplements have become popular among fitness enthusiasts for enhancing the adaptive response to exercise. This review analyzes five of the most effective ergogenic aids: creatine, beta-alanine, nitrates, caffeine, and protein. Methods: We conducted a narrative review of the literature with a focus on the sport supplements with the most robust evidence for efficacy and safety. Results: Creatine, one of the most studied ergogenic aids, increases phosphocreatine stores in skeletal muscles, improving ATP production during high-intensity exercises like sprinting and weightlifting. Studies show creatine supplementation enhances skeletal muscle mass, strength/power, and muscular endurance. The typical dosage is 3-5 g per day and is safe for long-term use. Beta-alanine, when combined with the amino acid histidine, elevates intramuscular carnosine, which acts as a buffer in skeletal muscles and delays fatigue during high-intensity exercise by neutralizing hydrogen ions. Individuals usually take 2-6 g daily in divided doses to minimize paresthesia. Research shows significant performance improvements in activities lasting 1-4 min. Nitrates, found in beetroot juice, enhance aerobic performance by increasing oxygen delivery to muscles, enhancing endurance, and reducing oxygen cost during exercise. The recommended dosage is approximately 500 milligrams taken 2-3 h before exercise. Caffeine, a central nervous system stimulant, reduces perceived pain while enhancing focus and alertness. Effective doses range from 3 to 6 milligrams per kilogram of body weight, typically consumed an hour before exercise. Protein supplementation supports muscle repair, growth, and recovery, especially after resistance training. The recommended intake for exercise-trained men and women varies depending on their specific goals. Concluions: In summary, creatine, beta-alanine, nitrates, caffeine, and protein are the best ergogenic aids, with strong evidence supporting their efficacy and safety.