The relation between alcohol consumption and well‐being is a controversial issue. Although the deleterious effects of heavy alcohol consumption on health have been demonstrated, research found that moderate drinking may have positive effect on various dimensions of human capital. Our contribution to this debate is original. We provide new cross‐country evidence on the relation between alcohol consumption and well‐being controlling for a whole set of confounders. While binge drinking has an overall negative impact on well‐being, we also found a negative impact of complete abstinence. For drinkers, consumption of beer and wine have opposite effects: beer have a small but significant negative effect on well‐being but only in combination with binge drinking. The positive effect of the consumption of wine on subjective well‐being may be minimized or even ruled out by a higher frequency of binge drinking.[EconLit Citations: D12, I31, L66]