Maintaining good mental well-being is important for leaders, but little attention has been given to how leaders facilitate their own well-being or how leaders evaluate emotions associated with certain events (cognitive reappraisal). This study investigates how mental well-being might influence the relationship between Emotional Intelligence (EI) and cognitive reappraisal in leaders and whether this relationship differs by gender. Data from 246 hotel managers in Sweden were collected, with a response rate of 69%. Our findings show that the four EI dimensions play a significant role in cognitive reappraisal, including Self-Emotion Appraisal, a core dimension of EI. The analyses showed that the effect of mental well-being on the relationship between two of the EI dimensions and cognitive reappraisal differed significantly by gender. We recommend the use of tailored training programs such as simulation-based training with real life cases. This type of training can support leaders in using broader strategies to regulate emotions, as well as helping them become more mindful about the consequences of their own and others’ choice of emotion regulation.