Psychological entitlement is a personality trait characterized by pervasive feelings of deservingness, specialness, and exaggerated expectations. The present review expands upon this understanding by conceptualizing entitlement as a cognitive-personality vulnerability to psychological distress. A review of research is conducted, and a novel, multipart model is described by which entitlement may be seen as such a vulnerability. First, exaggerated expectations, notions of the self as special, and inflated deservingness associated with trait entitlement present the individual with a continual vulnerability to unmet expectations. Second, entitled individuals are likely to interpret these unmet expectations in ways that foster disappointment, ego threat, and a sense of perceived injustice, all of which may lead to psychological distress indicators such as dissatisfaction across multiple life domains, anger, and generally volatile emotional responses. Furthermore, in the wake of disappointment, ego threat, or perceived injustice, entitled individuals are likely to attempt to bolster their entitled self-concept, leading to a reinforcement of entitled beliefs, thereby initiating the cycle again. At each stage of this process, entitlement presents the individual with the possibility of experiencing distress, predisposes further risk factors for distress (e.g., the subsequent steps in the model), and increases the risk of interpersonal conflict, again leading to distress. A review of relevant empirical data suggests preliminary support for this conceptual model of entitlement.