Language in CLIL is dependent on the subject that embraces it, as it is the case of Physical Education. The present descriptive exploratory case study examines how content and language are integrated into Physical Education lessons with CLIL in secondary education. It applies the Cognitive Discourse Function construct as a heuristic to analyse 19 lessons. The results show that all the acts of thinking are used, but not equally. The specific unit and the approach used by the teacher seem to affect the prevalence of each category and the students' engagement when verbalising their acts of thinking. In addition, a number of features (i.e., the role of questions, simple language, explicit language teaching, multimodality, translanguaging) were identified in order to integrate content, language and literacy. These findings can thus inform researchers, teachers and teacher training programmes to understand how integration takes place and promotes deep learning.