Dyslexia has been associated with a range of psychological well-being issues in childhood. However, it is unclear if these difficulties stem from coping with academic struggles at school, or from other pre-existing diagnoses that sometimes co-occur with dyslexia. Using UK Millennium Cohort Study data (n = 7224) from 2003 to 2011, the present study compared psychological well-being development from ages 3-11 years for children with (1) dyslexia only; (2) special educational needs excluding dyslexia; (3) comorbid dyslexia and other special educational needs; and (4) no special educational needs. Growth curve modelling results controlling for race, gender, age and family income suggested that with the exception of conduct difficulties, psychological well-being issues related to dyslexia do not occur preschool; rather, they commence upon starting school.