Self and social identity are key elements in the understanding of a person's strivings for health and well-being. This review (i) examines the concepts of self, social identity, and psychological well-being; (ii) integrates empirical evidence that relates various self-aspects or social identities to psychological well-being; (iii) analyzes within a stress and coping framework the well-being consequences of socially devalued self or threatened identities, perceived discriminations, challenges of acculturation and identity management; and (iv) delineates the role of self, social identity and related psycho-social variables as moderators and mediators in pathways leading to psychological well-being. Besides listing some methodological issues and empirical deficits, major concerns for future research are also identified. An explicit self and social identity perspective of this research synthesis brings personal and social aspects together, and this interface offers exciting opportunities for research advancement.