This study aimed to test a model that hypothesized that the compassionate coach, as perceived by the athletes, has an impact on athlete-related social safeness and psychological health, through shame and self-criticism. The sample comprised 270 Portuguese adult athletes, who practiced different competitive sports. The path analysis results confirmed the adequacy of the proposed model, which explained 45% of the psychological health’s variance. Results demonstrated that athletes who perceive their coaches as more compassionate tend to present higher levels of social safeness (feelings of belonging to the team) and of psychological health, through lower levels of shame and self-criticism. These novel findings suggest the importance of the adoption of supportive, warm, safe, and compassionate attitudes from coaches in athletes’ mental health. This study also offers important insights by suggesting that feelings of acceptance and connectedness in team relationships may be at the root of athletes’ emotional processes and well-being.