Self‐stigma is a phenomenon in which negative public stereotypes about mental illness are internalized and can undermine help‐seeking. Unfortunately, little is known about how self‐stigmatization relates to positive well‐being indicators among youth. A sample of 134 high school students completed established measures of self‐stigma, well‐being, self‐esteem, self‐efficacy, and self‐criticism. Analyses confirmed that self‐stigma was associated with overall well‐being and five well‐being subscales (autonomy, environmental mastery, personal growth, positive relations, and self‐acceptance); the strongest associations were with autonomy and positive relations with others. The majority of these associations still held when simultaneously controlling for self‐esteem, self‐efficacy, and self‐criticism. Taken together, findings point to the need for greater awareness of self‐stigma along with an explicit focus on the promotion of protective well‐being in prevention work and interventions designed to alleviate the tendency for young people to internalize stigma. Additionally, findings have theoretical implications for the “why try” model of self‐stigma.