Background: Many athletes experience sleep difficulties, and prior research within this cohort suggests that acute supplementation of alpha-lactalbumin (ALAC), a whey protein rich in the amino acid tryptophan, may improve sleep and performance. Therefore, this study investigated whether sub-chronic ALAC supplementation in the evening would improve sleep and physical performance within a poor-sleeping athletic population. Methods: In total, 24 athletically trained participants with sleep difficulties (Athlete Sleep Screening Questionnaire: 8.6 ± 2.2; Pittsburgh Sleep Quality Index: 10.0 ± 3.0) completed this double-blinded, randomised controlled, crossover trial. The participants were supplemented with 40 g of ALAC or control 2 h pre-sleep for seven consecutive nights within habitual settings, with sleep measured via actigraphy. Performance was assessed following the 1-week supplementation period, with the 30 s countermovement jump test, Yo-Yo Intermittent Recovery Test Level 1, and reaction time testing performed in a standardised sequence under controlled conditions. Results: During the ALAC condition, the objective number of awakenings increased (CON: 10.25 ± 5.28, ALAC: 11.01 ± 5.79; p = 0.031), the average jump height reduced (CON: 28.58 ± 5.53 cm, ALAC: 27.68 ± 5.14 cm; p = 0.037), the subjective physical and mental performance capabilities declined in the evening (p < 0.001), and evening negative emotional states (p = 0.001) were reduced. Conclusions: Seven days of ALAC supplementation may not improve the sleep and physical performance of an athletically trained population with mild–moderate sleep difficulties. Future research should recruit populations with more severe sleep difficulties and measure sleep architecture over an extended period to fully ascertain the effects, and potential benefits, of ALAC supplementation for athletes.