We contribute to recent entrepreneurship and well-being research by shedding light on the role of individuals’ value priorities in explaining their occupational choices and, ultimately, their well-being. Our theoretical framework accounts for the heterogeneity of individual value priorities and of entrepreneurship contexts to explain two important dimensions of entrepreneurs’ eudaimonic well-being: perceived autonomy and meaningfulness in life. Through analyzing European Social Survey (ESS) data, we empirically demonstrate that individual value priorities for benevolence and self-direction distinctively affect individuals’ engagement in entrepreneurship in ‘socially-oriented’ sectors and in ‘commercially-oriented’ sectors, which in turn differentially affect their perceived autonomy and meaningfulness in life.