Athletes undergoing psychotherapy, such as cognitive behavioural therapy (CBT), is an understudied group. Therefore, the aim of this study was to examine the feasibility of combining a single-case design (SCD) with ecological momentary assessment (EMA) throughout a CBT intervention with athletes. We conducted an SCD with multiple-baselines with three athletes seeking treatment at a university sports psychology clinic. EMA was employed with six daily questionnaires measuring positive and negative affect, and momentary context and activity for 105 days. A feasibility questionnaire and semi-structured interviews were conducted post-intervention to investigate the overall experience of participation and specific features of the design. Feasibility was determined by descriptively investigating the assessment frequency, questionnaire length, compliance, potential response patterns, and perceived burden of the sampling protocol. The three participants completed an average of 455 questionnaires with response rates of 48%, 73%, and 77%, respectively. Compliance varied more over weeks than within week or day. The main reason for compliance was the quickness of completing the questionnaire. The number of daily questionnaires was perceived as more burdensome than the number of items in each questionnaire and the length of the study. The current study is the first to demonstrate the feasibility of combining SCD and EMA during CBT with athletes in a real-world clinical setting. This study contributes to evidence-based care for athletes' mental health by demonstrating a design that enables the analysis of individual processes throughout a CBT intervention. This approach can be adopted to further investigate the effectiveness and mechanisms of psychotherapeutic interventions.