It is not fully understood the extent to which cognitive mediators are involved in the transaction between the athletic environment and athlete mental health. Rational emotive behaviour therapy (REBT) holds that primary irrational beliefs lead to psychological distress through secondary irrational beliefs. Therefore this study examined the mediational effects of primary and secondary irrational beliefs on psychological distress across three sport participation groups; non-sport participants, recreational sport participants, and elite athletes. This study also examined the differences in irrational beliefs and psychological distress between individual and team sport participants, between females and males, and across the three sport participation groups. Data revealed that secondary irrational beliefs mediated the relationships between primary irrational beliefs and psychological distress. Between-groups analyses revealed that elite athletes demonstrated smallest depreciation irrational beliefs, and elite female athletes reported greater depression symptoms than elite male athletes. The implications of the findings for research and applied work are discussed.