Outdoor activities induce positive mental and physical outcomes despite, or because of, the inherent risk. The psychological mechanisms driving this growth have not yet been adequately explained. This study employed portable EEG devices to track the mental states of competitive rock climbers during activity. Thirty-five participants (25% female) attempted a climb while wearing an EEG headset and being video-recorded for post hoc analyses. Results indicate that climbing induces a variety of discrete mental states that are consistent across measures of diversity. Climbers who completed their route, and those climbing more difficult routes, demonstrated higher relaxation (i.e., alpha activity) and inward attention (i.e., theta activity) during the most anxiety-inducing stages (i.e., the crux). Based on performance efficiency theory and attentional control theory, frontal alpha and theta are identified as inhibitory mechanisms that filter irrelevant cognitive processes during stressful moments, thus improving performance and potentially long-term developmental outcomes.