One approach to understanding processes that underlie skilled performing has been to study electrical brain activity using electroencephalography (EEG). A notorious problem with EEG is that genuine cerebral data is often contaminated by artifacts of non-cerebral origin. Unfortunately, such artifacts tend to be exacerbated when the subject is in motion, meaning that obtaining reliable data during exercise is inherently problematic. These problems may explain the limited number of studies using EEG as a methodological tool in the sports sciences. This paper discusses how empirical studies have generally tackled the problem of movement artifact by adopting alternative paradigms which avoid recording during actual physical exertion. Moreover, the specific challenges that motion presents to obtaining reliable EEG data are discussed along with practical and computational techniques to confront these challenges. Finally, as EEG recording in sports is often underpinned by a desire to optimise performance, a brief review of EEG-biofeedback and peak performance studies is also presented. A knowledge of practical aspects of EEG recording along with the advent of new technology and increasingly sophisticated processing models offer a promising approach to minimising, if perhaps not entirely circumventing, the problem of obtaining reliable EEG data during motion.