Beyond a hedonic model of the good life—approach pleasure and avoid pain—evidence is accumulating across species that well-being depends on potentially painful goal pursuit processes, like effort, engagement, and discovery. We hypothesized that daily challenges may provide a unique opportunity to fulfill such processes and that challenges would be more relevant within the promotion (gain-focused) than prevention (nonloss-focused) motivational system. Accordingly, we predicted that: (1) individuals who tend to be successful versus unsuccessful in achieving promotion-type goals would be better at managing daily challenges; and (2) challenge dysregulation would undermine promotion-related well-being (depressive symptoms) more than prevention-related well-being (anxiety symptoms). Across three studies, we find evidence in support of these hypotheses. Notably, as we find consistent evidence that too many and too few challenges may be damaging to mental health, we conclude that effective challenge regulation—not minimization—is likely to be a necessary component of optimal well-being.