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The management of psychosocial risks related to the coaching and training of entrepreneurs has been rarely addressed in the literature. This study aims to identify strategies and actions that entrepreneurial coaching and training organizations can implement to prevent and manage situations of distress experienced by their employees during their interactions with the entrepreneurs they mentor. To achieve this, we employed the Delphi method of iterative questioning with a panel of ten experts in psychosocial risk management. The study’s results lead us to recommend an organizational change aimed at fostering the development of emotional intelligence skills among the professionals involved, through concrete actions on company culture, organizational structure, and training policies. We also outline the conditions necessary for effective interventions in emotion management within the concerned organizations. Our research paves the way for further studies on the mental health of those who coach and train entrepreneurs—an issue of public health at a time when public authorities see the spread of entrepreneurial skills as a lever for economic and social development.