Employability is a key concern for many stakeholders, students, graduates, universities, organisations, and national decision-making bodies. Due to its ability to influence the paths towards success, the methods and factors affecting the development of employability have gained increased attention from these agents. This study aims to investigate how socio-emotional competencies and socio-economic factors are related to the employability of female graduates. Data were collected from 102 graduates at the Tathleeth Faculty of Arts and Science at the University of Bisha in the Kingdom of Saudi Arabia (KSA). Using structure modelling techniques, our findings indicate that socio-economic factors have an impact on the unemployed, whereas socio-emotional competencies impact the employed. Employability skills are shown to have an impact both on the unemployed and on socio-economic factors. Furthermore, the moderation effect of socio-emotional competencies and socio-economic factors on the relation between employability skills and employment is unsupported. Consequently, we conclude that the study’s results suggest the necessity of developing a theory of employability which investigates the conditions under which employability skills impact the employability of graduates. To this end, contextual factors must be identified so as to form the cornerstones of an adequate theory.