A psychophysiological perspective offers many advantages to advancing theory and practice in sport. It also presents several challenges. Research will be reviewed that shows how physiological measurements have increased our understanding of affective states and cognitive processes in sport and exercise, particularly in regards to the effects of different attentional focus strategies and goal setting. Measures discussed will include ECG, EMG, VO2, and respiratory flow and the sport tasks will include golf, pistol shooting, cricket, cycling, rowing, running, and strength training. In this work, a triangulation of physiological-motor-verbal data has proved to be a useful framework to address the theoretical and methodological challenges that result from a psychophysiological approach. Practical applications, including a cognitive training approach to biofeedback enhanced sport performance, are also discussed.