Nested loop : wich way/order?

You need to add a tax_query parameter with a relation to do this,

$args = array(
    'post_type' => array('my_custom_post', 'another_custom_post'),
    'tax_query' => array(
        'relation' => 'AND',
        array(
            'taxonomy' => 'progression',
            'field'    => 'slug',
            'terms'    => $term->slug,
        ),
        array(
            'taxonomy' => 'sport',
            'field'    => 'term_id',
            'terms'    => array( 1, 2, 3 ),
            'operator' => 'IN',
        ),
    ),
);
$query = new WP_Query( $args );

Of course, you’ll need arrange term_id for the sport taxonomy relation.

You will find more examples and details about the taxonomy parameter in the WP_Query class reference

Hope it helps.