The objective of two empirical studies is the analysis of the development of subjective well-being in kindergarten and elementary school students in the context of the educational transitions (1) from kindergarten to elementary school and (2) from elementary to secondary schools in two different national school systems. Semi-structured interviews on self-esteem and dysthymic mood (i.e., low spirits, feelings of depressiveness and of dejection) were administered in 5 cohorts (two kindergarten and the first three elementary school years). Measurements were repeated three times each a year apart. Samples refer to 312 German and 244 Luxembourg children enrolled in educational systems with optional kindergarten, 4-year comprehensive elementary school, and educational placement thereafter (Germany) versus obligatory kindergarten and 6-year comprehensive elementary school (Luxembourg). Time- and age-effects point to significant discontinuities in the development of subjective well-being. There are declines of self-esteem and increases of dysthymic mood just after school enrollment (“transition shock”) in the Luxembourg sample, whereas quite similar developments are observed in the last elementary school year before educational placement for secondary education in the German sample. School enrollment and educational placement for secondary education are critical life events with significant impact on children’s well-being, which varies between different school systems.