Capsaicinoids and their analogs (CAP) are found in various types of peppers and have received great attention as weight management agents. An increase in energy expenditure and fat oxidation at rest, along with appetite and energy intake reduction has been reported. CAP supplementation has also been indicated to increase exercise performance. Another potential effect of CAP during exercise is to increase energy expenditure and fat oxidation. Thus, the present systematic review aimed to compare the energy expenditure (EE) and substrate oxidation during exercise with CAP administration, or placebo (no CAP administration), in acute studies. Ten studies met our inclusion criteria for EE, including one with mice. Only one study reported higher EE during exercise compared to non-CAP conditions. We found seven studies that met our inclusion criteria for substrate oxidation measurement during exercise. One study reported lower fat oxidation during CAP conditions, while two reported higher fat oxidation with CAP supplementation. From studies retrieved, some reported increased EE and fat oxidation at rest, which means that the effect of CAP at rest was not carried over into exercise. In conclusion, CAP seems not to be a potential ergogenic aid to affect EE considering the studies retrieved in this current review; however, inconsistent results have been reported regarding to substrate oxidation. Further research should clarify the effect of CAP on substrate oxidation during exercise. • Capsaicinoids and their analogs do not seem to affect energy expenditure during exercise. • Effect of capsaicinoids and their analogs on substrate oxidation during exercise presents conflicting outcomes. • Further studies on capsaicinoids and their analogs are needed manipulating type, dose and timing of administration. • Further studies on capsaicinoids and their analogs are needed in people with different body mass.