Background: The use of sports supplements (SS) to improve sports performance is very common in athletes. In the case of triathletes, the physiological characteristics of the sport may require the use of certain SS. Although the consumption of SS is widespread in this sport, very few studies have investigated it thus far. The aim is to analyze the pattern of SS consumption by triathletes according to sex and the competitive level. Methodology: This is a descriptive cross-sectional study on the consumption and habitual use of SS of 232 Spanish-federated triathletes. Data were collected through a validated questionnaire. Results: Overall, 92.2% of the athletes consumed SS, but no significant differences were found in terms of competition level or sex. Yet, significant differences were found regarding the level of competition for total SS (p = 0.021), the total number of Group A supplements from the AIS classification (p = 0.012), and for the ergogenic aids (p = 0.003). The most-consumed SS were bars, sports drinks, sports gels, and caffeine (83.6%, 74.1%, 61.2%, and 46.6%, respectively). Conclusions: The consumption of SS by triathletes is high, and the number of SS consumed rises from the regional to the national and international levels. The four SS most consumed were included in category A of the AIS (greatest scientific evidence).