There are several reputable sites that provide authentic autographed sports memorabilia with certificate of authenticities (COA). You should be careful however, just because an item comes with a COA, doesn't mean that the item is authentic.
You will want to deal with companies that have been in business for a long time and have reputations in the field. Some of the most well known and most reputable businesses dealing with autographed sports memorabilia are Steiner Sports, Upper Deck, Mounted Memories, Tri-Star, APE, and Highland Mint. This is just a small selection, but probably the most notable.
There are also authorized retailers that sell the above companies products - sometimes at lower prices. Some of the most notable ones are www.aaasportsmemorabilia.com, www.itsalreadysigned4u.com, www.authenticsignedsports.com, www.sportsmemorabilia.com.
Make sure you do your research prior to buying. A lot of athletes now will only sign for one company and are not allowed to sign for anyone else. Also, if you see an item that is significantly lower then the market value, then the item is more then likely not authentic. For example, if the value of a player's autographed baseball is typically $300.00, and one is for sell for $25, then the autographed baseball is not legitimate.
I hope this helps with your question.