We investigated the effects of supplement identification on exercise performance with caffeine supplementation. Forty-two trained cyclists (age 37 ± 8 years, body mass [BM] 74.3 ± 8.4 kg, height 1.76 ± 0.06 m, maximum oxygen uptake 50.0 ± 6.8 mL/kg/min) performed a ~30 min cycling time-trial 1 h following either 6 mg/kgBM caffeine (CAF) or placebo (PLA) supplementation and one control (CON) session without supplementation. Participants identified which supplement they believed they had ingested (“caffeine”, “placebo”, “don’t know”) pre- and post-exercise. Subsequently, participants were allocated to subgroups for analysis according to their identifications. Overall and subgroup analyses were performed using mixed-model and magnitude-based inference analyses. Caffeine improved performance vs PLA and CON (P ≤ 0.001). Correct pre- and post-exercise identification of caffeine in CAF improved exercise performance (+4.8 and +6.5%) vs CON, with slightly greater relative increases than the overall effect of caffeine (+4.1%). Performance was not different between PLA and CON within subgroups (all P > 0.05), although there was a tendency toward improved performance when participants believed they had ingested caffeine post-exercise (P = 0.06; 87% likely beneficial). Participants who correctly identified placebo in PLA showed possible harmful effects on performance compared to CON. Supplement identification appeared to influence exercise outcome and may be a source of bias in sports nutrition.