Performance anxiety is a major issue for performing artists. This qualitative paper extends our recent mixed-methods collective case study showing the beneficial effects of psychological interventions for managing performance anxiety, tailored in individual coaching settings. Here, we report on participants’ experiences of being coached, their understanding of how and why the interventions were effective, and the researcher-coach's experiences. Ten performing artists received five individual coaching sessions and were interviewed about their experiences pre- and post-intervention. A qualitative synthesis of transcripts of sessions and interviews, and of the coach's field notes and journal entries, was conducted. Findings suggest that change mechanisms have to be understood in the context of participants’ enhanced self-awareness during coaching, and the process of co-creating solutions and building a coaching relationship through mutual understanding and appreciation. While disentangling mechanisms and effects may not always be possible, we discuss useful strategies in coaching performing artists to manage performance anxiety.