This study examined the relationship between transformational leadership and employee well-being indicators in developing countries, as well as the mediation role of trust in the leader. Five hundred ninety-seven employees of Colombian and Mexican organizations answered a questionnaire. Results indicated that transformational leadership relates positively with job satisfaction and negatively with distress symptomatology. No relationship was established between transformational leadership and psychological well-being. Trust in the leader mediated totally the relationship between transformational leadership and job satisfaction and symptoms of distress. These results confirm the previously described relationship between transformational leadership, less distress, and higher job satisfaction. However, it suggests too that the possible effect of transformational leadership on employees health and well-being would be limited to promoting affective aspects of well-being, but not psychological well-being. This result invites to a thorough review of the meaning and use of the concepts affective and psychological well-being and the differences between them.