A popular view is that a greater sense of humor enhances both psychological well-being and physical health. The empirical evidence for this general facilitate effect of humor is quite equivocal, however, with only some research being supportive. As such, the present study investigated an alternative proposal, namely, that the distinct components of sense of humor may actually exhibit quite different relationships with psychological well-being, with only some being facilitative, and others being detrimental. This specificity hypothesis draws from contemporary multidimensional models of sense of humor, which have identified both adaptive and maladaptive components of humor (e.g., self-enhancing versus self-defeating). Accordingly, participants in this study completed measures of eight different components of sense of humor, as well as several indices of psychological well-being, including self-esteem levels, depression, anxiety, and self-competency judgments. Initial analyses indicated strong support for a multidimensional approach to sense of humor that demonstrated appropriate component distinctiveness, but also with the expected degree of convergence for key elements that are either adaptive (i.e., coping, affiliative, self-enhancing, and skilled humor) or maladaptive (i.e., self-defeating, belabored, aggressive, and rude humor). In accord with the specificity hypothesis, the adaptive components of sense of humor showed facilitative effects, being associated with greater self-esteem, lower depression and anxiety levels, and more positive self-competency judgments. In contrast, the maladaptive components of humor that were self-focused (e.g., self-defeating and belabored humor) showed the predicted detrimental effects, with higher levels on these specific components being associated with poorer self-esteem, greater depression and anxiety, and poorer judgments of self-competence. Also as expected, the two maladaptive forms of sense of humor that did not focus on the self, but rather on others (i.e., aggressive and rude humor), were unrelated to personal well-being. These findings were then discussed in terms of multidimensional models of sense of humor and the need to identify more clearly the possible mechanisms that may result in either facilitative or detrimental effects on psychological well-being.