Research suggests elite athletes have an equal—or, in some circumstances, possibly higher—probability of developing mental ill-health as the general population. However, understanding of these issues among athletes and coaches remains largely limited. The perceptions of mental-health problems among 19 elite athletes and 16 coaches were explored using two concurrent three-round Delphi surveys whose responses were compared. Athletes and coaches expressed different opinions and experiences of mental ill-health among elite athletes. However, both groups felt the pressure athletes place on themselves is a significant contributing factor and that obsessional compulsive tendencies and anxiety may be particularly prevalent. While associated stigma was thought to be a barrier to seeking support, both groups felt sport and clinical psychologists would provide the most appropriate support, with coaches playing an important signposting role. Implications for athletes, coaches, and clinical and sport psychologists are explored and suggestions for future research are presented.