The present set of studies employs two cognitive interviewing techniques (thinking aloud and online cognitive probing) of the scale assessing the self-defeating humor style, aiming at delineating the role that self-defeating humor plays in self-esteem and emotions. The self-defeating humor style comprises humor to enhance one’s relationships with others at the expense of oneself, and has often been related to lower well-being. The analyses are based on 392 item responses of a typical sample (Study 1) and 104 item responses of high scorers on the self-defeating scale (Study 2). Content analyses revealed that higher scores on the self-defeating scale went along with humor (Study 1), with higher state self-esteem, with an improvement of one’s interpersonal relationships, and with more facial displays of positive emotions (Study 2). Additionally, the more humor was entailed in the item responses, the higher the state self-esteem and the improvement of relationships was and the more positive emotion words were employed. Thus, the humor entailed in the self-defeating humor style seemed rather beneficial both for oneself and others. These findings call for a reevaluation of past findings with this humor style and provide opportunities for future research and applications of humor interventions to improve well-being.