Background: The efficacy of eccentric exercise self-performed by the patient has not been proved in the treatment of lateral elbow tendinopathy (LET). The aim of this study was to compare the effects of a programme of eccentric exercises applied by a physiotherapist to patients with LET through a structured manual programme compared to its self-performance, guided by an illustrated brochure. Method: A single-blind, pilot, randomised, controlled trial was conducted. Twenty patients were randomised. The intervention group carried out eccentric exercises applied directly by a physiotherapist (10 sessions). The control group carried out eccentric exercises that were self-performed by the patient (10 sessions). Both groups received simulated ultrasounds. Pain (visual analogue scale (VAS)), function (DASH questionnaire) and satisfaction (with a Likert scale) were measured at the beginning of the intervention, immediately after the intervention and 3 months after the intervention. Results: The mean age was 53.17 and 54.25 years old. The experimental group presented a greater tendency to improve function (DASH −15.91) and reduce pain (VAS −2.88) compared to the control group, although these differences were not significant (p > 0.05). Conclusion: Eccentric exercise, both performed by the physiotherapist and self-performed by the patient, improved function and pain in the patients with LET.