We used leadership theories and social cognitive theory to examine the association between paternalistic leadership styles and the coach–athlete relationship in sports contexts, along with the role of trust as a mediator. Participants were 312 teenage soccer players aged 13–19 years at two Chinese professional soccer schools, who completed a survey. The results show that the three dimensions of paternalistic leadership (i. e., authoritarian leadership, benevolent leadership, and moral leadership) each had different effects on the coach–athlete relationship. Benevolent leadership and moral leadership positively predicted the coach–athlete relationship, whereas authoritarian leadership did not have a significant impact. Further, trust as a cognitive process mediated the relationships between both benevolent and moral leadership styles and the coach–athlete relationship. Trust had a suppressing effect on the link between authoritarian leadership and the coach–athlete relationship. Our results complement those of past research and support the application of social cognitive theory in the context of the social psychology of sport training.