<p>In professional beach volleyball, the belief in “never give up” is deeply ingrained, but its strategic implications remain underexplored. This study employs a mixed-methods approach, combining sport psychology and sport informatics, to assess the perception of set-winning probabilities (SWPs) in beach volleyball, as this is a crucial factor for strategic in-game decisions and improved performance. We examined cognitive biases and adaptive strategies influencing SWP estimations in scenarios of substantial trailing or leading. Forty-three members of the German beach volleyball national team estimated SWPs for 60 scores, responded to questions on game tactics, and completed questionnaires measuring optimism, pessimism, confirmation bias, and the sunk cost fallacy. Empirical SWPs were calculated from a dataset of 6,571 matches. Results revealed that participants significantly overestimated SWPs when trailing and underestimated them when leading. Optimism and confirmation bias significantly shaped these estimations. Notably, confirmation bias had a dual role: in trailing scenarios, it amplified overestimation, causing players to underestimate their disadvantage, while in leading scenarios, it improved accuracy by focusing on the likelihood of victory. Players were more likely to recall situations reinforcing the belief that “We (can still) win”. These findings highlight the psychological and strategic complexities of SWP estimations in competitive beach volleyball.</p>