The biopsychosocial model of challenge and threat states specifies that these states engender different physiological and behavioral responses in potentially stressful situations. This model has received growing interest in the sport and performance psychology literature. The present systematic review examined whether a challenge state is associated with superior performance than a threat state. Across 38 published studies that conceptualized challenge and threat states in a manner congruent with the biopsychosocial model, support emerged for the performance benefits of a challenge state. There was, however, significant variation in the reviewed studies in terms of the measures of challenge and threat states, tasks, and research designs. The benefits of a challenge state on performance were largely consistent across studies using cognitive, physiological, and dichotomous challenge and threat measures, cognitive and behavioral tasks, and direct experimental, indirect experimental, correlational, and quasi-experimental designs. The results imply that sports coaches, company directors, and teachers might benefit from trying to promote a challenge state in their athletes, employees, and students, respectively. Future research could benefit from a greater consensus on how best to measure challenge and threat states to help synthesize the evidence across studies. Specifically, we recommend that researchers use both cognitive and physiological measures and develop stronger manipulations for experimental studies. Finally, future research should report sufficient information to enable risk of bias assessment.