Outdoor sports are associated with increased exposure to ultraviolet radiation, which may result in sunburn, solar damage, and skin cancers. Water and winter sports create additional adverse conditions, such as washing away sunscreen by water and reflection of UV rays by the water and snow. Sweating-increased skin photosensitivity and activity-induced immunosuppression are associated with a greater risk of developing skin cancers. In this review, we focus on a group of athletes and sports participants and analyze 62 articles concerning sun exposure during outdoor sports, the risk of developing skin cancer, and knowledge and behavior regarding photoprotection methods. Various practices have been linked to an increased risk of developing basal cell carcinoma (BCC), squamous cell carcinoma (SCC), malignant melanoma (MM), or UV-induced skin damage. Water sports and mountaineering increase the risk of BCC. Surfing and swimming are risk factors for SCC. Melanoma is more common in swimmers, surfers, and marathon runners. Photoprotection behaviors can reduce potential skin damage and skin cancers. Athletes’ knowledge about the risk of malignant lesions was satisfactory, but despite the risks, outdoor sports participants seem not to protect themselves from the sun adequately.