This article reviews the literature on student well-being (burnout and engagement) and their relationships with study demands and resources, student behaviors (proactive and self-undermining study behaviors), and student outcomes in higher education. Building on research that used Job Demands-Resources and Study Demands-Resources models to investigate student well-being, we develop the Study Demands-Resources (SD-R) theory to delineate the various processes, mechanisms, and behaviors involved in student burnout and engagement. Study demands and resources have unique and combined effects on higher education students' well-being. In addition, students can influence their own well-being and study-related outcomes by either proactively optimizing their study demands and resources or displaying self-undermining behaviors that can adversely affect their study environment. We discuss several avenues for future research, including (a) rigorous tests of SD-R propositions; (b) trait versus state effects in SD-R theory; (c) the impact of the higher education climate and lecturer influence; and (d) an expanded SD-R theory.