Objectives We examined a model, informed by self-regulation theories from the health psychology literature, which included goal adjustment capacities, appraisals of challenge and threat, coping, and well-being. Design Prospective. Methods Two-hundred and twelve athletes from the United Kingdom (n = 147) or Australia (n = 65), who played team (n = 135) or individual sports (n = 77), and competed at international (n = 7), national (n = 11), county (n = 67), club (n = 84), or beginner (n = 43) levels participated in this study. Participants completed measures of goal adjustment capacities and stress appraisals two days before competing. Athletes also completed coping and well-being questionnaires within 3 h of their competition ending. Results The way an athlete responded to an unattainable goal was associated with his or her well-being in the period leading up to and including the competition. Goal reengagement positively predicted well-being, whereas goal disengagement negatively predicted well-being. Further, goal reengagement was positively associated with challenge appraisals, which in turn was linked to task-oriented coping, and task-oriented coping positively associated with well-being. Conclusion When highly-valued goals become unattainable, consultants and coaches could encourage athletes to generate alternative approaches to achieve the same goal or help them develop a completely new goal in order to promote well-being among athletes.