Students’ well‐being is crucial for learning motivation and effective learning, for their quality of life and their psychological health later in life. In this regard, this article investigates the factors that affect the well‐being of students in secondary vocational schools in Kosovo and Macedonia. It empirically examines determinants of students’ well‐being categorised into socio‐demographic factors, environment and socialisation, and satisfaction factors. It is based on an OLS regression analysis, using data from six secondary vocational schools in the two countries. Findings reveal that well‐being is determined to a great extent by students’ experience in school, particularly their perception of the usefulness of what they are learning for a future job, whether teachers are welcoming, and the friendliness of co‐students. Students who experience bullying are much less happy in school. These findings are important from a policy perspective, as they reveal that students’ well‐being is mainly determined by factors that can be controlled and influenced by schools and less so by factors that are not determined by schools. The evidence from this study can be used to strengthen the social inclusion role of vocational schools.