This paper explores the notion that the availability and analysis of large data sets have the capacity to improve practice and change the nature of science in the sport and exercise setting. The increasing use of data and information technology in sport is giving rise to this change. Web sites hold large data repositories, and the development of wearable technology, mobile phone applications, and related instruments for monitoring physical activity, training, and competition provide large data sets of extensive and detailed measurements. Innovative approaches conceived to more fully exploit these large data sets could provide a basis for more objective evaluation of coaching strategies and new approaches to how science is conducted. An emerging discipline, sports analytics, could help overcome some of the challenges involved in obtaining knowledge and wisdom from these large data sets. Examples of where large data sets have been analyzed, to evaluate the career development of elite cyclists and to characterize and optimize the training load of well-trained runners, are discussed. Careful verification of large data sets is time consuming and imperative before useful conclusions can be drawn. Consequently, it is recommended that prospective studies be preferred over retrospective analyses of data. It is concluded that rigorous analysis of large data sets could enhance our knowledge in the sport and exercise sciences, inform competitive strategies, and allow innovative new research and findings.