Precise measurements of well-being would be of profound societal importance. Yet, the sceptical worry that we cannot use social science instruments and tests to measure well-being is widely discussed by philosophers and scientists. A recent and interesting philosophical argument has pointed to the psychometric procedures of construct validation to address this sceptical worry. The argument has proposed that these procedures could warrant confidence in our ability to measure well-being. The present paper evaluates whether this type of argument succeeds. The answer is that it depends on which methodological background assumptions are motivating the sceptical worry to begin with. We show this by doing two things. First, we clarify (a) the different types of well-being theories involved in the science of well-being, and (b) the general methodological dimensions of well-being theorising. Second, we apply these distinctions and argue that construct validation is an unsuccessful response to measurement scepticism if this scepticism is motivated by a form of methodological non-naturalism. In the light of this, the overall point of the paper is that philosophers and scientists, when discussing measurement of well-being, should explicate their deeper methodological commitments. We further suggest that making such explicit commitments might present philosophers with a dilemma.