The main aim of this study was to conduct a systematic review of the recent research output produced on CrossFit and to examine the benefits and risks of the high-intensity CrossFit training. Systematic search of PubMed, ScienceDirect, Scopus and Web of Science was conducted. Thematic analysis of the research output on CrossFit was performed and each of the included articles was assessed using the Delphi Scale for quality assessment of individual studies. A total of 25 articles were included in this study. Based on our results, high-intensity CrossFit training incorporates both aerobic and anaerobic elements, which in turn improve cardiovascular fitness, anaerobic capacity, and body composition of individuals of all levels of fitness and of both genders. CrossFit has also positive psychological effects on athletes, such as exercise enjoyment, challenge, satisfaction, and goals achievement, which lead to high levels of retention and adherence of participants to CrossFit programs. On the other hand, high-intensity CrossFit training includes risks. These are musculoskeletal injuries occurring at different body parts, with most common being shoulder, lower back and knee injuries, and other more severe but less common injuries, such as exertional rhabdomyolysis. The findings of this study indicate that intense CrossFit training improves the six out of ten general physical skills of athletes, as proposed by CrossFit Inc., such as cardiovascular/respiratory endurance, stamina, strength, flexibility, power and balance. The other four physical skills, such as speed, coordination, agility, and accuracy, are yet to be verified.