This research develops an integrative theoretical framework examining the influence of psychological well-being on innovative work behavior among entrepreneurs, with particular attention to the African context. Drawing rigorously on Whetten’s (1989) theory-building approach, we structure our analysis around four foundational pillars: the key constructs (what), their relationships (how), the explanatory mechanisms (why), and the boundary conditions (who, where, when). Our model proposes that psychological capital, psychological safety, and work engagement mediate the relationship between psychological well-being and entrepreneurial innovative behavior, under the moderating influence of individual, organizational, and contextual factors specific to African environments. This theoretical contribution addresses a gap identified in recent scholarship (Ibrahim et al., 2023), which highlights the rapid academic growth of this research theme since 2018 and the pressing need for studies conducted in diverse work environments, particularly in underexplored African contexts. The model offers new perspectives for understanding the psychological underpinnings of entrepreneurial innovation and proposes managerial implications tailored to the realities of emerging economies.