Location-based games (LBGs) augment urban environments with virtual content turning them into a playground. The importance of understanding how different modes of play impact LBG players’ psychological well-being is emphasized by the enormous and constantly rising popularity of the genre. In this work, we use the two-factor theory of psychological well-being to investigate the associations between five constructs related to game mechanics and personality traits, and psychological well-being and fatigue. We test our proposed structural model with Finnish Pokémon GO players (N = 855). The results show deficient self-regulation and fear of missing out to be positively associated with gaming fatigue. Engagement with cooperative and individual game mechanics had a positive relationship with well-being. Competitive game mechanics were found to have a positive relationship with both well-being and fatigue. Finally, the overall playing intensity had a strong relationship with well-being, but no association with fatigue.