Coronavirus disease (COVID-19), an infectious disease caused by the SARS-CoV-2 virus, has affected numerous aspects of human functioning. Social contacts, work, education, travel, and sports have drastically changed during the lockdown periods. The pandemic restrictions have severely limited professional athletes’ ability to train and participate in competitions. For many who rely on sports as their main source of income, this represents a source of intense stress. To assess the dynamics of perceived stress as well as coping strategies during different waves of the COVID-19 pandemic, we carried out a longitudinal study using the Perception of Stress Questionnaire and the Brief COPE on a sample of 2020 professional athletes in Poland, Romania, and Slovakia. The results revealed that in all three countries, the highest intrapsychic stress levels were reported during the fourth wave (all, p < 0.01) and the highest external stress levels were reported before the pandemic (p < 0.05). To analyze the data, analyses of variance were carried out using Tukey’s post hoc test and η2 for effect size. Further, emotional tension was the highest among Polish and Slovak athletes in the fourth wave, while the highest among Romanian athletes was in the pre-pandemic period. The coping strategies used by the athletes in the fourth wave were more dysfunctional than during the first wave (independent t test and Cohen’s d were used). The dynamics of the coping strategies—emotion focused and problem focused—were also discussed among Polish, Romanian, and Slovak athletes. Coaches and sports psychologists can modify the athletes’ perceived stress while simultaneously promoting effective coping strategies.