While coaches are considered at risk of experiencing burnout, there is an absence of intervention studies addressing this syndrome. The purpose of this qualitative study was to conduct a self-regulation intervention with five Canadian developmental (n = 2) and elite (n = 3) sport coaches (three men, two women) experiencing moderate to high levels of burnout and examine the perceived impact of this intervention on their self-regulation capacity and experiences of burnout and well-being. The content analysis of the coaches’ outtake interviews and five bi-weekly journals revealed that all five of them learned to self-regulate more effectively by developing various competencies (e.g., strategic planning for their well-being, self-monitoring) and strategies (e.g., task delegation, facilitative self-talk). Four of the coaches also perceived improvements in their symptoms of burnout and well-being. Sport psychology interventions individualized for coaches are a promising means for helping them manage burnout and enhance their overall functioning.