"They think it's all over" is a quote from Kenneth Wolstenholme's BBC TV commentary in the closing moments of the 1966 FIFA World Cup Final, when England beat West Germany 4–2 after extra time to win the FIFA World Cup.
The phrase, along with other calls from English football matches, appears in New Order's song "World In Motion", although in that case Wolstenholme re-recorded it with the slightly different words "Well, some of the crowd are on the pitch.
Track #3 on British folk metal act Skyclad's EP Jig-a-Jig is called "They Think It's All Over".
[1] An alternative mix for The Beatles song "Glass Onion", which appeared on Anthology 3, contained a portion of Kenneth Wolstenholme's commentary.
"[3] BBC parodist Dave Henson used the line to refer to the 1966 winning team during his parody of "I'll Be Missing You" by Puff Daddy and the Family/The Police.