Background: The self-employed are at increased risk of negative well-being outcomes when facing adversity such as the COVID-19 pandemic. Studies that examine socio-ecological factors that may protect their well-being are warranted. Methods: Data were drawn from a cross-sectional survey of European self-employed people (n = 1665). The WHO-5 Well-being Index was used to examine the impact on well-being of factors at four socio-ecological levels. Independent sample t-tests, Pearson correlations and linear regression were applied to analyse differences between groups of self-employed and interactions between variables using SPSS. Results: Well-being and the socio-ecological factors of resilience, social support, useful work and finding the rules clear were positively correlated with well-being. For self-employed who reported that it was challenging to run their business during the pandemic, social support and finding rules clear were of significantly greater importance to their well-being. Conclusions: The findings highlight that the socio-ecological factors of resilience, social support, doing useful work and finding the rules clear affect well-being. The results also indicate that it is vital to consider factors at multiple socio-ecological levels to improve the well-being of the self-employed during adversity.