Fish oil and conjugated linoleic acid (CLA) belong to a popular class of food supplements known as "fat supplements", which are claimed to reduce muscle glycogen breakdown, reduce body mass, as well as reduce muscle damage and inflammatory responses. Sport athletes consume fish oil and CLA mainly to increase lean body mass and reduce body fat. Recent evidence indicates that this kind of supplementation may have other side-effects and a new role has been identified in steroidogenensis. Preliminary findings demonstrate that fish oil and CLA may induce a physiological increase in testosterone synthesis. The aim of this review is to describe the effects of fish oil and CLA on physical performance (endurance and resistance exercise), and highlight the new results on the effects on testosterone biosynthesis. In view of these new data, we can hypothesize that fat supplements may improve the anabolic effect of exercise.