I felt like I was going to suffer from a setback again and again.
ーI felt like I was going to suffer from a setback again and again because I was training so hard.
「きついトレーニングで何度も挫折しそうになった。」
I felt like I was going to suffer from a setback again and again. で「何度も挫折しそうになった」
suffer (form) a setback で「挫折する」
ーI always felt as though I might have to give up my training because it was so tough.
「トレーニングがきつくて何度も挫折しそうになった。」
give up を使っても「挫折する」を表現できるかと思います。
ご参考まで!