ABSTRACT Successfully managing one's unpleasant emotions despite adversities is important to help people maintain their well‐being. Using daily diary assessment, we explored the role of Self‐efficacy in Regulating Negative Affect (SRN) on Hedonic well‐being (HWB), measured once a day over 21 days in a sample of 63 Italian young adults (mean age = 25.43, SD = 3.47; 67.7% women). Dynamic Structural Equation Modelling showed that there is a significant positive correlation between the spill‐over effect from daily SRN t −1 to HWB t , with the carry‐over effect of SRN ( r = 0.625; 95% CI: [0.179, 0.850]). To explore this result more in depth, we performed a simple slope analysis that revealed that for those young adults with high carry‐over of SRN over time, the spill‐over effect from daily SRN t −1 to HWB t was positive and statistically significant ( b = 0.247, 95% CI [0.032, 0.447]) compared to those young adults with low carry‐over of SRN, which was nonsignificant ( b = −0.092, 95% CI [−0.299, 0.137]). We discuss these findings in light of the potential role that SRN could play in people's well‐being during their everyday lives, which is in line with Bandura's social cognitive theory. At the practical level, our results suggest that enhancing SRN might be beneficial to young adults' HWB.