We investigate how CEO entrepreneurial orientation affects firm value creation and how this relationship is moderated by three sources of CEO entrenchment. We conducted a longitudinal analysis of S&P 500 firms between 1999 and 2007, and, in line with our predictions, we found that CEO entrepreneurial orientation enhances firm value creation and that this positive effect is reduced when CEOs are entrenched (1) due to corporate governance provisions that protect them from the majority will of shareholders, (2) due to substantial ownership that provides them too much decision‐making power, and (3) because their family has substantial holdings in the corporation.