It depends. If the activity or profession is understood to involve ambition, then "ambitious" is generally understood as a good thing. An ambitious trial lawyer, an ambitious politician, an ambitious mob boss, yes, that would be said with admiration; an ambitious policeman, not a good thing.
I don't quite understand what an ambitious athlete would be -- someone who wants to win awards or set records? It does seem somewhat negative to me, because I tend to associate sports more with things like the relentless pursuit of excellence or perfection, the drive to achieve, or the need to push the physical limits. It's almost like art in that regard; the drive behind it is supposed to be something other than social status or gain. Sure, some amount of ambition or showmanship enters into it, I guess (or everyone would be out tri-ing out of sight of the cameras), but it's not an intuitive connection. Attributes admired in sports include aggression, competitiveness, determination, and so on.