Proactive behavior (self‐initiated and future‐oriented actions to bring about change) has largely positive consequences for organizationally oriented outcomes such as job performance. Yet the outcomes of proactivity from a well‐being perspective have not been clearly considered. Drawing on self‐determination theory and the stressor‐detachment model, we propose two distinct paths by which proactivity affects individuals' daily well‐being. The first path is an energy‐generating pathway in which daily proactive behavior enhances end‐of‐work‐day vitality via perceived competence. The second is a strain pathway in which daily proactive behavior generates anxiety at work, which undermines the process of detachment from work. We argue that these pathways are shaped by the extent to which supervisors are prone to blaming employees for their mistakes (punitive supervision). We tested this model using a sample of 94 employees who completed surveys three times a day for between 5 and 7 days. Our multilevel analyses provide support for the proposed dual‐pathway model and suggest differential well‐being outcomes of daily proactive work behavior. Overall, when an individual behaves proactively at work, they are more likely to experience higher levels of daily perceived competence and vitality. However, these positive effects can exist in parallel with daily negative effects on end‐of‐workday anxiety, and hence bedtime detachment, but only when the supervisor is perceived to be punitive about mistakes.