The present study aimed to examine the moderating effects of self-esteem and socio-demographics of gender, age, family system, and the number of friends on the relationship between rejection sensitivity and psychological well-being. Participants were adolescents (n = 112; M = 16 years) and emerging adults (n = 189; M = 23 years) who belonged to nuclear (n = 181) or combined family system (n = 120) and had limited friends (n = 185) or numerous friends (n = 116). Almost an equal number of boys (n = 150) and girls (n = 151) responded to the Rejection Sensitivity Questionnaire, Rosenberg Self-esteem Scale, and Ryff’s Psychological Well-being Scale. The hypothesis stated that rejection sensitivity will predict poor psychological well-being, and high self-esteem will decrease the negative effects of rejection sensitivity on psychological well-being. Findings indicated that rejection sensitivity was a significant negative predictor of psychological well-being and accounted for 14% of the variance in the outcome measure. Rejection sensitivity and high self-esteem had a significant negative correlation and buffered its negative effects on psychological well-being. Participants, i.e., boys, emerging adults, belonging to the nuclear family system, and with more friends, reported having more psychological well-being than their counterparts. The study has intrapersonal and interpersonal behavioral implications at individual, social, and community levels to safeguard behavior from rejection sensitivity, low self-esteem, and poor psychological health. Parents, teachers, policy-makers, psychologists, sociologists, and mental health practitioners can practically benefit from the findings to foster positive behavior and implement prevention-intervention support.