This research aimed to investigate whether athletes’ perceptions of their coach’s effectiveness on dimensions of coaching efficacy (i.e., motivation, technique, character building) predicted indicators of their competence, confidence, connection, and character in athletes from the UK and Malaysia. Athletes from team (volleyball, UK n = 46, Malaysia n = 49; hockey, UK n = 34, Malaysia n = 47; and basketball, UK n = 50, Malaysia n = 50) and individual (squash, UK n = 47, Malaysia n = 44; table tennis, UK n = 48, Malaysia n = 47; and golf, UK n = 44, Malaysia n = 47) sports completed questionnaires assessing the study variables. Multiple-regression analyses controlling for athletes’ sex, sport experience, and sport type showed in both samples that perceived motivation effectiveness positively predicted athletes’ connection and sport confidence, perceived technique effectiveness positively predicted their sport competence, and perceived character-building effectiveness positively predicted their moral identity. Thus, athletes’ perceptions of their coach may have important implications for athletes’ sport experiences in team and individual sports even in divergent cultures. Results are discussed in terms of their relevance for the coaching efficacy model and the athlete-level outcomes resulting from effective coaching.