Background: Research has highlighted the multitude of factors that are negatively associated with coach mental well-being but has failed to investigate how the determinants of mental well-being can affect the coach both positively and negatively. Accordingly, the aim of this study was to investigate levels of mental well-being among sport coaches and assess whether areas of work life—specifically workload and control—are related to levels of mental well-being. Method: An online survey comprising demographic and coaching experience details, the Areas of Work Life Scale (AWS), and the Warwick–Edinburgh Mental Well-Being Scale was completed by 464 Australian coaches involved in a range of sports. Differences in coach mental well-being according to key demographic and coaching-related subgroups were assessed using separate t-test and ANOVA analyses and the magnitude of effects was determined using Cohen’s d and the eta-squared (ή2) statistics. Multiple linear regression was used to examine relationships between both workload and control and mental well-being after controlling for age, gender, coaching setting and weekly coaching activity. Results: The findings indicate poorer mental well-being among both male and younger coaches and indicate that coach mental well-being is related to the ability to self-manage the workload associated with their role as a coach as well as greater autonomy over coaching-related tasks and activities. Specifically, a one-unit increase in AWS workload and AWS control were associated with ~three- and ~four-unit increases in coach mental well-being, respectively. Conclusion: Greater provision of resources and education is required to assist coaches to manage their own mental well-being, while being supported by the organisation they coach for. Enabling coaches to balance their coaching requirements and to have control over their environment will improve their ability to constantly coach at a high standard.