Dysfunctional sleep beliefs are strongly involved in sleep difficulties, which in turn negatively predict psychological health and well-being. In contrast, psychological capital (PsyCap) is a positive cognitive resource, comprising four dimensions (hope, self-efficacy, resilience, and optimism), that positively predicts psychological well-being. Significant associations between sleep beliefs and well-being, and PsyCap and well-being are detailed; however, research on their interrelations (among sleep beliefs, well-being, and PsyCap) remains scarce. This cross-sectional study aimed to elucidate the relationships among the variables. The convenience sample consisted of 123 Australian working adults. Participants completed an online survey comprising four empirically established measures (Dysfunctional Beliefs and Attitudes about Sleep Scale, Psychological Well-being Scale, Psychological Capital Questionnaire, and a social desirability scale). Hypotheses were derived from Conservation of Resources (COR) theory, which underlines the importance of cognitive mechanisms that guide adaptive psychological responses. Results were consistent with hypotheses: dysfunctional sleep beliefs significantly and negatively predicted PsyCap, and PsyCap mediated the relationship between sleep beliefs and well-being. Findings suggested that PsyCap, which can be developed, may help buffer the adverse effects of sleep beliefs to benefit well-being. Replication of model coefficients in larger samples and future testing of PsyCap training within sleep-hygiene practices are recommended.