Traditional theories of motor learning emphasize the automaticity of skillful actions. However, recent research has questioned this principle of automaticity by emphasizing the role of pre-reflective self-consciousness accompanying athletes’ unfolding activity. Yet empirical documentation and analysis of athletes’ pre-reflective self-consciousness are associated with epistemological discussion and methodological challenges. In the present paper, we present the course-of-experience framework as a means of studying elite athletes’ pre-reflective self-consciousness in the unfolding activity of performance optimization. We carried out a synthetic presentation of the ontological and epistemological foundation of the course-of-experience framework, rooted in an enactive approach of human cognition. Then we illustrated the methodology associated with this framework by an in-depth analysis of two elite windsurfing riders’ courses of experience. The analysis of global and local characteristics of the riders’ course of experience reveal (a) the meaningful activities accompanying the experience of ongoing performance optimization; (b) the multidimensionality of attentional foci and the normativity of performance self-assessment; and (c) a micro-scale phenomenological description of continuous improvement. These results highlight the fruitfulness of the course-of-experience framework to describe the experience of being absorbed in an activity of sport performance optimization by documenting and analyzing athletes’ pre-reflective self-consciousness.