Cardiff council has issued travel advice to drivers, with roads shutting from 06:30 BST and reopening at about 12:30.
East Tyndall Street, Lloyd George Avenue and Bute Place are among those being closed for the triathlon.
Drivers heading to the Extreme Sailing event before midday have been advised to follow signposted routes to the bay.
The council said the best route to get to the sailing would be the A4232, exiting at the junction for Mermaid Quay and the central link road.
A cycle diversion is also in place around Britannia Park, between Cardiff Bay and the barrage.
Roads closed during the triathlon:
Road closures have been announced ahead of Cardiff Bay's triathlon and sailing events on Sunday.