It has been determined that one’s performance as an athlete is determined by both mental and physical skills, both learned and innate. Many psychological skills under the heading of Positive Psychology are of great importance to athletes if they wish to maximize performance and well-being in a sport. This paper illustrates how explanatory style, emotional control, and goal-setting contribute to the well-being, self efficacy, and improved performance of an athlete, and offers several exercises to help athletes put these mental skills to use in their chosen sport.