This paper explores sport mega-events’ impacts and their relation with urban sustainability based on physical, environmental, economic, and social–cultural dimensions. The physical impacts are singled out because, in the case of sport mega-events taking place in cities, it is advisable to incorporate this new dimension for lack of proper fit of the costliest Olympic projects in the three established dimensions: environmental, economic, and social–cultural. It examines the alignment of event planning and implementation actions with a set of urban Sustainable development goals selected through 63 indicators derived from literature review spanning from 2000 to 2016 on a range of outcomes and impacts of the most recent sport mega-events. The intensity of the Olympics’ impacts was assessed in the city of Rio de Janeiro, which hosted the last games, through a survey of Brazilian experts. The ranking of impact intensity pointed out that this sport mega-event hadmuch larger negative than positive impacts in Rio in all four dimensions, especially in the environmental dimension. Weaknesses of planning and development control, high consumption of water and energy, nonrecyclable waste, and price increase of goods and services were the highest negative impacts in the city. The increase of international reputation and exposure was the social–cultural factor that received a more positive evaluation from the Brazilian experts.