We examined relations of 10 personal values to life satisfaction (LS) and depressive affect (DEP) in representative samples from 32/25 countries (N = 121 495). We tested hypotheses both for direct relations and cross‐level moderation of relations by Cultural Egalitarianism. We based hypotheses on the growth versus self‐protection orientation and person‐focus versus social‐focus motivations that underlie values. As predicted, openness to change values (growth/person) correlated positively with subjective well‐being (SWB: higher LS, lower DEP) and conservation values (self‐protection/social) correlated negatively with SWB. The combination of underlying motivations also explained more complex direct relations of self‐transcendence and self‐enhancement values with SWB. We combined an analysis of the environmental context in societies low versus high in Cultural Egalitarianism with the implications of pursuing person‐focused versus social‐focused values to predict how Cultural Egalitarianism moderates value–SWB relations. As predicted, under low versus high Cultural Egalitarianism, (i) openness to change values related more positively to SWB, (ii) conservation values more negatively, (iii) self‐enhancement values less negatively and (iv) self‐transcendence values less positively. Culture moderated value–SWB relations more weakly for DEP than for LS. Culture moderated value–LS relations more strongly than the socio‐economic context did. This study demonstrates how the cultural context shapes individual‐level associations between values and SWB. Copyright © 2017 European Association of Personality Psychology