Coaching is a developmental intervention implemented in organisations to improve individual attitudes and behaviours. Few studies, however, have tested these assumptions and explained the mechanisms involved. We propose psychological capital (PsyCap), a set of positive individual resources, as a possible mediator. We investigated whether coaching framed in goal setting and conservation of resources theories is effective in improving PsyCap and, through this, individual attitudes and performance, and whether its effects maintain over time. We conducted an experiment with 56 employees in a marketing company, who were either randomly assigned to a coaching intervention or a wait‐list control group. Measures of interest were collected before the programme started (T1), and after the programme, which lasted 4 months (T2). A follow‐up measure for the experimental group was collected after a further 4 months (T3). ANOVAs showed coaching was associated with increases in PsyCap, job attitudes, and one dimension of job performance. The mediating role of PsyCap was supported for job attitudes. The effects on PsyCap and job attitudes lasted over time, as revealed by within‐subjects repeated measures analyses. This study fills a gap in our knowledge of the explanatory processes of coaching effectiveness by building on solid research design features.