Leaders of small and medium-sized enterprises (SMEs) are often confronted with specific burdens, which frequently result in increased levels of stress. Leadership behaviour, in turn, has a significant impact on employees’ health and performance. Using the Population, Intervention, Comparison, Outcome (PICO) method, we conducted a systematic literature search covering publications from 2002 to 2023 using PubMed, PsycInfo and Business Source Premier on stress-reducing and well-being-improving interventions for SME leaders. The Effective Public Health Practice Project (EPHPP) Quality Assessment Tool was used to assess the methodological quality and risk of bias of the included studies regarding selection bias, study design, confounders, blinding, data collection, withdrawal and drop-out. Of the 3150 identified publications, 6 were included after screening. The studies varied in content (cognitive behavioural therapy [CBT]-based, psychoeducation, and mixed interventions) and approach (individual- and organisation-centred). Not all of the examined interventions provided significant outcomes. However, CBT-based and individualised approaches showed a positive trend in reducing SME leaders’ psychosocial stress and improving their well-being. Despite the limited data, it can be concluded that such interventions are beneficial for leaders and their specific needs. Future research should focus on tailored approaches, derived from well-founded theories and integrative interventions addressing SME leaders.