The relationship between sports practice and physical and mental health became an important issue during the COVID-19 pandemic, where keeping fit and exercising was one of the best and most popular ways to cope with the confinement situation. The aim of this study was to determine the relationships between perfectionism and resilient resources with psychological well-being, differentiating sports category, gender and experience in a sample of athletes during confinement in different countries affected by the COVID-19 pandemic. An incidental and cross-sectional random sampling method was designed (n = 583). The sample was analysed with three different instruments, evaluating perfectionism, resilience and psychological well-being patterns and comparing three groups with different levels of practice due to confinement (full reduction, moderate reduction and only access restrictions). Results show that both male and senior athletes were more organized, resistant to changes and focused their attention and efforts on their demands and potential. They were stimulated by obstacles that required more effort compared to U23, who reported higher concerns and lower organisational scores. Athletes who completely interrupted their sports dynamics showed higher indicators of perfectionism and performed worse in resilience and well-being. Despite this, age and the variability of the athletes’ experiences proved to be relevant factors in an athlete’s trajectory, and continued to represent a certain degree of balance in the face of COVID-19.