The fact that there have been so few of them throughout history of sports shows that this is an exceptional, uncommon situation. A small number of athletes compared to the total. It requires that a single individual possess many qualities at the same time.

Bill Russell. Won 9 championships as a Boston Celtic under legendary coach Red Auerbach, and alongside Hall of Famers like Bob Cousy. Then became the coach and starting center for 3 more years and won two more championships.

Rinus Michels [1]. There are so many tho.

[1] https://en.wikipedia.org/wiki/Rinus_Michels

Kenny Dalglish for Liverpool too, winning the double whilst a player-manager.