Well-being and mental health can impact life and job satisfaction. Additionally, well-being is also associated with productivity and is becoming a concern in the growth of SMEs in Malaysia. This research aimed to explore the factors that affect the well-being of entrepreneurs in Malaysian SMEs. A systematic literature review was conducted in which research papers published from 2014 to 2021 were included. After the full-text screening, 25 articles were reviewed for qualitative synthesis. Entrepreneurial stressors, social support, individual factors, and business factors were identified as factors affecting the well-being of entrepreneurs. There are limited studies on the well-being of entrepreneurs, especially in Malaysia. Hence, future studies should focus on this, as Malaysian SMEs are significant contributors to the economy.