The present study focused on relationships between personality traits, self-efficacy, self-esteem and basic trust, and well-being in context of entrepreneurial activity. Participants were 301 unemployed people, 157 of whom had received a grant from an employment agency to start their own business. Participants completed measures of personality traits, self-efficacy, self-esteem, basic trust, satisfaction with life, positive and negative affect. To verify if beliefs about the self and about the world mediated relationships between personality traits and well-being we conducted a multiple-sample SEM. The study results confirm that the beliefs mediate relationships between personality traits and well-being. They also show that different types of beliefs serve a different function, depending on an individual’s circumstances. Among grant acceptors, self-efficacy did not impact well-being, while self-esteem and basic trust had similar functions in both groups.