The importance of adequate sleep for athletic functioning is well established. Still, the literature shows that many athletes report sleep of suboptimal quality or quantity. To date, no research has investigated how bidirectional variations in mental and physiological states influence sleep patterns. The present study, therefore, investigates reciprocal associations between sleep, mental strain, and training load by utilizing a prospective, observational design. In all, 56 junior endurance athletes were followed over 61 consecutive days. Unobtrusive, objective measurements of sleep with novel radar technology were obtained, and subjective daily reports of mental strain and training load were collected. The role of subjective sleep quality was investigated to identify whether the reciprocal associations between sleep, mental strain, and training load depended on being a good versus poor sleeper. Multilevel modeling with Bayesian estimation was used to investigate the relationships. The results show that increases in mental strain are associated with decreased total sleep time (TST, 95% CI = −0.12 to −0.03), light sleep (95% CI = −0.08 to −0.00), and sleep efficiency (95% CI = −0.95 to −0.09). Further, both mental strain and training load are associated with subsequent deceased rapid eye movement (REM, respectively, 95% CI = −0.05 to −0.00 and 95% CI = −0.06 to −0.00) sleep. Increases in TST, light, deep, and REM sleep are all associated with subsequent decreased training load (respectively, 95% CI = −0.09 to −0.03; 95% CI = −0.10 to −0.01; 95% CI = −0.22 to −0.02; 95% CI = −0.18 to −0.03). Finally, among poor sleepers, increases in sleep onset latency are associated with increases in subsequent mental strain (95% CI = 0.09–0.46), and increases in deep sleep are associated with decreases in subsequent training load (95% CI = −67.65 to 11.43). These results offer novel insight into the bidirectional associations between sleep, mental strain, and training load in athletes and demonstrate the detrimental effects of mental strain on sleep, likely caused by mental activation incompatible with sleep. An increased need for recovery, suggested by increased TST and time in different sleep stages, is associated with subsequent self-regulatory reduction of training loads by the athletes. In poor sleepers, increases in deep sleep may suggest an elevated need for physiological recovery.