Data in sport and exercise psychology research are often analyzed based on the assumption that the relationships between two or more variables are linear in nature. But are all relationships in sport and exercise settings linear? The aim of this paper is to: a) discuss the potential shortcomings with using linear regression analysis, b) introduce quantile regression analysis (Q-regression) as an alternative to linear regression, and c) give examples of how to use Q-regression analysis in order to overcome some of the shortcomings of linear regression analysis. A comparison between the results from a linear regression analysis and a Q-regression analysis shows differences between the two methods. More specifically, the independent variables in the results of the Q-regression analysis were shown to have non-linear relationships with the dependent variable in given examples. Researchers are encouraged to consider using Q-regression analysis in studies where non-linear relationships could be expected.