Special forces selection is a highly demanding process that involves exposure to high levels of psychological and physical stress resulting in dropout rates of up to 80%. To identify who likely drops out, we assessed a group of 249 recruits, every week of the program, on their experienced psychological and physical stress, recovery, self-efficacy, and motivation. Using both ordinary least squares regression and state-of-the-art machine learning models, we aimed to find the model that could predict dropout best. Furthermore, we inspected the best model to identify the most important predictors of dropout and to evaluate the predictive performance in practice. Via cross-validation, we found that linear regression performed best while remaining interpretable, with an Area Under the Curve (AUC) of 0.69. We also found that low levels of self-efficacy and motivation were significantly associated with dropout. Additionally, we found that dropout could often be predicted multiple weeks in advance and that the AUC score may underestimate the real-world predictive performance. Taken together, these findings offer novel insights in the use of prediction models on repeated measurements of psychological and physical processes, specifically in the context of special forces selection. This offers opportunities for early intervention and support, which could ultimately improve selection success rates.