The belief that participation in sport and physical activity assists the integration of culturally and linguistically diverse (CALD) migrants is prominent within sport policy and programming. Integration outcomes may be enhanced when the migrant develops facets of cultural capital that are valued by both the migrant and the destination country. This paper systematically examines the cultural capital of CALD migrants in the context of participation in sport and physical activity. Databases were searched for papers published in peer-reviewed journals between 1990 and 2016. A total of 3040 articles were identified and screened, and 45 papers were included in this review. Findings show that migrants’ cultural capital can be both an asset to, and a source of exclusion from, sport participation. Sport and physical activity are sites where migrant- specific cultural capital is (re)produced, where new forms of cultural capital that are valued in the destination society are generated, and where cultural capital is negotiated in relation to the dominant culture. The authors conclude that the analytical lens of cultural capital enables an in-depth understanding of the interplay between migrant agency and structural constraints, and of integration as a two-way process of change and adaptation, in the context of sport and physical activity.