The authors investigate subjective well-being in e-sports (competitive video games). They adopt the theoretical lenses of virtual edgework theory, a recent adaptation of edgework theory from physical to digital contexts. Sports have long been used as a tool to improve subjective well-being. The research question is whether e-sports lead to well-being, as their physical sport counterparts do, and through what psychological mechanisms. The authors answer through a conceptual model of moderated mediation tested on hundreds of e-sports players. They also address the role of privacy concerns, as e-sports pose several potential threats to players’ privacy that could hinder players’ achievement of well-being. Findings suggest that virtual edgework provides a useful theoretical perspective for understanding consumers’ behavior in digital environments. They also show that e-sports can lead to well-being by achieving feelings of self-enhancement under the positive moderation of perceived control over the digital environment and the negative moderation of privacy concerns.