The effect of caffeine on mitigating exercise-induced muscle damage (EIMD) is still poorly understood, but it was hypothesized that caffeine could contribute to decreasing delayed onset muscle soreness, attenuating temporary loss of strength, and reducing circulating levels of blood markers of muscle damage. However, evidence is not conclusive and beneficial effects of caffeine ingestion on EIMD are not always observed. Factors, such as the type of exercise that induces muscle damage, supplementation protocol, and type of marker analyzed contribute to the differences between the studies. To expand knowledge on the role of caffeine supplementation in EIMD, this systematic review aimed to investigate the effect of caffeine supplementation on different markers of muscle damage. Fourteen studies were included, evaluating the effect of caffeine on indirect muscle damage markers, including blood markers (nine studies), pain perception (six studies), and MVC maximal voluntary contraction force (four studies). It was observed in four studies that repeated administration of caffeine between 24 and 72 h after muscle damage can attenuate the perception of pain in magnitudes ranging from 3.9% to 26%. The use of a single dose of caffeine pre-exercise (five studies) or post-exercise (one study) did not alter the circulating blood levels of creatine kinase (CK). Caffeine supplementation appears to attenuate pain perception, but this does not appear to be related to an attenuation of EIMD, per se. Furthermore, the effect of caffeine supplementation after muscle damage on strength recovery remains inconclusive due to the low number of studies found (four studies) and controversial results for both dynamic and isometric strength tests.