Rapid decision-making, one of essential characteristics in sport, is argued as the determinant of sport performance. Heuristic, a rapid decision-making process, might be an appropriate concept that introduces how an athlete makes a quick decision under limited circumstances. According to the developed theories and findings, the present article put insight into the holistic understanding of heuristic thinking in sport by discussing the nature of sport performance relevant heuristic thinking (i.e., gaze heuristic, hot-hand heuristic, take-the-first heuristic and take-the-best heuristic), theoretical foundation, empirical findings, the feasibility of its applications as well as the challenges regarding theoretical perspectives, measurement and research design.