This study used a cross-sectional survey design to examine the moderating role of psychological capital (PsyCap) on the association between psychological distress (depression, anxiety, and stress) and well-being among 387 college students in India. PsyCap refers to an individual’s positive psychological state of development that is comprised of hope, efficacy, resilience, and optimism. There was a negative association between psychological distress and well-being, whereas a positive association was found between PsyCap and well-being. As hypothesized, PsyCap moderated the association between psychological distress and well-being. The PsyCap components of hope, efficacy, resilience, and optimism each acted as a moderator in the association between psychological distress and well-being. The practical implications of enhancing PsyCap to positively affect well-being and reduce psychological distress in college students are provided through the lens of positive psychology.