Life transitions represent moments characterized by changes that can profoundly influence individual life trajectories and subjective well-being. Recently, career coaching has become an important method of helping people expand their self-awareness, facilitate personal development, and increase their performance in the school-to-work transition. Although previous studies have confirmed that one of the most important keys to the success of a coaching program is the quality of the relationship between coach and coachee, there is a lack of knowledge regarding how to objectively measure it. In this pilot study, we adopted a neuroscientific approach to introduce objective measures of the relationship between coach and coachee through the phases of a coaching session. A sample of 14 university students and a professional coach participated in career-coaching sessions while their affective states were measured by recording brain (EEG) and physiological (Skin conductance) activity. Electroencephalographic indicators of valence, arousal, and engagement showed differences between session phases, highlighting the possibility of a neurophysiological measurement of relational dynamics. Our results provide initial evidence that neurophysiological activity can be considered a way to understand differences in the coach-coachee relationship, thereby providing information on the effectiveness of coaching interventions and facilitating a better life transition from school to work.