Objectives To examine how much variance of self‐esteem is attributable to the administrative‐area level and whether the individual or administrative‐area level of social capital variables is associated with self‐esteem after controlling for control variables at multiple levels using multilevel analysis. Methods The data are from the 2010 (Wave 2) Seoul Welfare Panel Study conducted by the Seoul Welfare Foundation. The final sample for the current study yielded a total of 5,934 individuals nested in 2,847 households within 25 administrative areas. Results The results indicate that 7.1 percent of variation in self‐esteem is attributed to administrative areas. Perceived helpfulness, organizational participation, and volunteer work were positively associated with self‐esteem at the individual level. Among the administrative‐area‐level social capital variables, only perceived helpfulness was positively associated with self‐esteem. Conclusion The results of this study partially support one underlying, though yet unproven, hypothesis that social capital is linked to various psychological well‐being outcomes through self‐esteem. The results also indicated that social interventions including social capital to enhance one's self‐esteem may not be efficient if directed solely at the administrative‐area level, as a relatively small variation in self‐esteem was attributed to this level.