Exercise capacity is limited by environmental heat stress because thermoregulatory systems are altered and cannot prevent the elevation of body temperature due to a complex interplay of physiological, physical, and perceptual alterations. Cooling is an effective strategy to attenuate the temperature rise. Based on the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) guidelines and the PEDro scale for assessing methodological quality, we systematically reviewed studies indexed in Medline, Web of Science, EMBASE, Science Direct, Sportdiscus, and Scopus, to evaluate the effects of the cooling vest (CVs) on perceptual response, physiological behavior, and sports performance in adult physical activity practitioners under heat stress conditions. Among the 711 studies identified in the search, 10 studies for the systematic review and eight for the meta-analysis met the inclusion and exclusion criteria. Overall, the use of CVs showed improvements in certain sports performance indicators, being significant (p < 0.05) in test time and substantial in peak power that could be influenced directly by the significant reduction (p < 0.05) in skin temperature and indirectly by the significant improvement (p < 0.05) in thermal and exertional perceptual responses, without the involvement of core temperature. In conclusion, the use of CVs is a cooling technique that influences perceptual response, thermo-physiological behavior, and sports performance. However, further studies are needed to elucidate the relevance of its application to CVs.