In sport psychology, the roots of mental skills training and performance enhancement strategies have been heavily influenced by the cognitive branch of Cognitive Behavioural Therapy. Some of the traditional methods in CBT, such as exposure and behavioural experiments, have not gained much attention despite strong research evidence of their effectiveness. This chapter will describe how exposure and behavioural experiments can be useful in working with performance enhancement in Olympic level athletes. Common procedures are outlined and lessons learned from the elite sport context are provided.