Dyslexia has been associated with a range of psychological well‐being issues in childhood. However, it is unclear if these difficulties stem from coping with academic struggles at school, or from other pre‐existing diagnoses that sometimes co‐occur with dyslexia. Using UK Millennium Cohort Study data (n = 7224) from 2003 to 2011, the present study compared psychological well‐being development from ages 3–11 years for children with (1) dyslexia only; (2) special educational needs excluding dyslexia; (3) comorbid dyslexia and other special educational needs; and (4) no special educational needs. Growth curve modelling results controlling for race, gender, age and family income suggested that with the exception of conduct difficulties, psychological well‐being issues related to dyslexia do not occur preschool; rather, they commence upon starting school. Copyright © 2017 John Wiley & Sons, Ltd.