Psychological well-being has been widely researched along the psychosis spectrum, and increased psychotic symptoms are generally associated with worse well-being. Additionally, the construct of insight has been extensively studied in schizophrenia. While having greater insight has many benefits for those with schizophrenia, a paradox exists in which greater insight is also associated with poorer psychological well-being. However, it is unclear whether the link between insight and poor well-being occurs only once serious psychopathology has been established, or whether this is a more universal process seen even at lower levels on the psychosis spectrum. We used a structural modeling approach in an ethnically diverse, non-clinical sample of 420 undergraduates to evaluate the association between sub-clinical psychosis, cognitive insight and psychological well-being. As hypothesized, results indicated that sub-clinical psychotic symptoms were negatively associated with psychological well-being. The insight paradox was also substantiated, as greater cognitive insight was associated with worse psychological well-being. However, cognitive insight did not moderate the association between symptoms and well-being. The link between sub-clinical psychotic symptoms and psychological well-being as well as the insight paradox appears to emerge even before reaching threshold for a psychotic disorder. Research and clinical implications are discussed.