High-level military and sport leaders face similar demanding conditions, high workloads, and stress, leading to mental health issues. Even if mental health issues among leaders have shown deteriorating leadership and high levels of mental health have an increased likelihood of better performance (athletes), it is not clear how mental health is related to high-level military and sports leaders’ performance. Based on the prevailing field of knowledge about these leaders’ demands and stress, mental health may be a stress-buffer necessary for leader performance. However, research on leaders’ mental health and performance has received limited attention, and more research into its possible inseparability is warranted. This study explored similarities in high-level military and sports leaders’ experiences of their mental health and leader performance under demanding conditions. Cross-contextual qualitative research can provide a context-transcendent, understanding of mental health and leader performance, guiding future research and the application of leadership coaching. Sixteen in-depth, semi-structured interviews were performed with eight Swedish high-ranking military officers (four men and four women) and eight Swedish sport executives (four men and four women). Their average age was 47.5 years. Through an inductively thematic analysis (TA) of the interviews, the following four themes were generated: (1) mental health under siege—it’s still possible to perform; (2) the strength of social support and stable life conditions; (3) keeping physically fit—a strong helper; and (4) self-confidence and mental strategies keep you in the fight. These findings suggest that high-level military and sport leaders are mentally robust under pressure but not immune. Hence, it is advantageous to further enhance the mental strategies they already use for maintaining leader performance under pressure and reduced mental health. It is also valuable to holistically consider their social and physiological well-being in leader development initiatives such as leadership coaching for the sake of their mental health.