The growing consumer awareness regarding health and fitness has been leading to a huge rise in the consumption of nutritional supplements and, consequently, to an increase in concerns about their quality. In this sense, one of the most consumed products is protein supplements and, despite being safer than other types of supplements, there are several studies showing incompatibilities between what is present on the labels and their actual content. Therefore, this review is focused on gathering information about the problems arising from poor manufacturing practices and inadequate quality control of sport protein supplements. These issues are mainly related to three aspects: reduction of the supplements’ nutritional value, the presence of pharmacological substances, and contamination with microorganisms or toxic metals. Regarding the first aspect, reports about the “classic” addition of nitrogen-rich compounds to mask the protein content measured by the Kjeldahl method were discussed, as well as recent topics such as the addition of cheaper proteins to produce an “undetectable” adulteration in whey protein supplements. With respect to the presence of pharmacological compounds, it is a finding that is not very common in protein supplements; however, even trace amounts of foreign substances in this type of product may cause adverse effects to consumers, and, in the case of an elite athlete, may result in doping. Finally, we discuss about the contamination with microorganisms and toxic metals, this latter being a subject that should be further explored due to few studies in the literature.