For sports massage focusing on the upper half of the body, massage therapists typically recommend removing any clothing on your top half if you are comfortable doing so, as it allows them to work into the muscles more smoothly. The therapist should keep you covered with a sheet or towel during the session and only expose the area on which they are working. You may also leave a bra on that you or the therapist can unclip to access your back when you are laying on the table, and then re-clip once they are finished in that area.
For sports massage focusing on the lower half of the body, short tights or sports shorts that can be rolled up work well. Alternatively, you can wear underwear. Again, your therapist should keep you covered during the session and only expose the part of the body they are working on at the moment.
Avoid wearing full-length sports tights or a sports bra that does not clip, as these items make it very difficult for the therapist to access your muscles.