The purpose of this qualitative study was to explore the perceived mental health benefits of organized sports participation in socially vulnerable children and the underlying mechanisms contributing to these benefits among boys participating in the sports-based Icehearts programme, as reported by the parents. Focus group interviews (n = 5) were conducted among parents (n = 28) of boys participating in the programme. The data were analysed using thematic analysis. The mental health benefits of organized sports participation were related to increased self-esteem, self-confidence, emotional self-regulation, prosocial behaviour and courage as well as better mood. The perceived mechanisms contributing to these benefits were related to the following themes: skills through sports, the coach, social connectedness and the opportunity for recreational activities. Few challenges and potential pitfalls in implementing sports-based programmes targeted at socially vulnerable children were identified. The findings highlight the importance of role, skills and mindset of the coach leading the sport activities.