Background Well‐being difficulties such as depression, anxiety, stress, and fatigue are common among fathers. However, little is understood about factors that might place fathers at increased risk of well‐being difficulties or protective factors that reduce the likelihood of experiencing these problems. The aim of the present study was to use a socioecological perspective to explore a range of individual and microsystem factors associated with depression, anxiety, stress, and fatigue in fathers. Methods The study sample consisted of 133 Australian fathers of young children, aged 0–6 years, who had completed a parent well‐being survey. Results Multiple regressions revealed that a range of individual and microsystem factors significantly explained variance in depression, anxiety, stress, and fatigue, including poor sleep quality, a number of coping strategies, parental self‐efficacy, and social support. Conclusions Fathers are at risk of experiencing a range of well‐being difficulties. Implications for potential targets for interventions to improve the well‐being of fathers are discussed.