The current study aims to explore how coach–athlete attachment affects the subjective well-being (SWB) of athletes and is primarily focused on the confirmation of the mediating roles of athletes’ perceived coach support and self-esteem in the relationship between them. A total of 179 Chinese athletes participated in this study, in which they responded to questions comprising a coach–athlete attachment scale, a perceived coach support measurement, the Rosenberg self-esteem scale, and SWB measures. The results suggest that both attachment anxiety and attachment avoidance significantly predict SWB in athletes. The effects of attachment anxiety on SWB are partially mediated by perceived coach support and self-esteem, and the effects of attachment avoidance on SWB are completely mediated by perceived coach support and self-esteem. Moreover, a chain mediating effect was found: coach–athlete attachment → perceived coach support → self-esteem → SWB. These findings extend the conclusions of prior reports and shed light on how coach–athlete attachment influences the athlete’s well-being.