Live supervision enables a supervisor to have direct insight into the psychotherapeutic process and allows him or her to provide immediate feedback to the trainee. Therefore, live supervision might be superior to traditional supervisory formats that only allow for the provision of delayed feedback. When considering the different live supervision formats, bug‐in‐the‐eye (BITE) supervision is particularly promising because of its improved and less invasive procedure. The current study compared the efficacy of BITE supervision with that of delayed video‐based (DVB) supervision. In the present study, 23 therapists were randomly assigned to either the BITE supervision or DVB supervision groups. The participants were psychotherapy trainees who treated 42 patients (19 under BITE supervision and 23 under DVB supervision) over 25 sessions of cognitive‐behavioural therapy. Two independent raters blind to the treatment conditions evaluated therapeutic alliance and therapist competence based on 195 videotapes. Therapeutic alliance was significantly stronger among the treatments conducted under BITE supervision than those conducted under DVB supervision. Moreover, a higher level of therapeutic competence was found in the BITE condition than in the DVB condition. However, no differences between supervision conditions were found when the results were controlled for the level of therapeutic alliance and therapist competence demonstrated in the first session. No differences were observed between the supervision conditions with respect to patient outcomes. There is evidence that BITE supervision is able to improve therapeutic alliance and therapist competence. However, these findings should be interpreted with caution because possible pre‐treatment differences between therapists might explain the superiority of BITE supervision. Copyright © 2015 John Wiley & Sons, Ltd. Key Practitioner Message BITE supervision positively influences the therapeutic alliance and therapeutic competencies during cognitive‐behavioural therapy. A supervision format that more directly addresses therapeutic processes is more effective in improving those processes than an indirect supervision format. Pre‐treatment differences between therapists might explain the superiority of BITE supervision. BITE supervision can be considered a safe intervention.