Coping with the COVID-19 pandemic had implications for athletes’ mental well-being. This mixed-methods study examined the influence of self-compassion on athletes’ coping during the pandemic through the mediator of cognitive appraisal. The prospective design involved 90 athletes completing two online surveys 1 week apart measuring self-compassion, cognitive appraisal, and coping strategies. The PROCESS macro was used for the mediation analysis. A qualitative thematic analysis was used to explore athletes’ responses to the pandemic during the second survey. Self-compassion had an indirect negative effect on avoidance-focused coping by appraising the pandemic as less of a threat (95% confidence interval [−0.20, −0.001]) and had a total effect on emotion-focused coping (95% confidence interval [0.02, 0.40]). Based on the thematic analysis, athletes described many raw emotions and a variety of coping strategies during the pandemic. Self-compassion demonstrated promising benefits to athletes who dealt with the challenging situation of the pandemic.