Mastering a sport is only possible by repeating the same movement over and over, incrementally improving its accuracy, speed and timing, via regular feedback. A precise feedback is often given by a trainer who physically guides the athlete to the optimal gesture. This observation raises the question - can this physical feedback be synthesized and automated using haptics? In this literature review, we survey the existing solutions that have been proposed for training and their effectiveness in mastering a sport. We introduce a methodology to classify the existing literature based on the field of sports as well as the type of haptic feedback used. The following review focuses on the research done in the past 20 years, where haptics has been used to improve 3 primary aspects in sports namely: training methodology, performance enhancement and rehabilitation. 18 papers are analyzed to understand the state of haptics used in sports. The main findings demonstrate the effectiveness of haptic feedback in sports. Finally, we provide a future direction for research to leverage haptics in sports.