With life expectancy increasing for the general population, public health promotion activities should be a priority to aim at a reduction of the burden and costs of hospitalization, disability, and lifelong treatment. This study aimed to explore the influence of parameters pertaining to different aspects of well-being, including physical and mental health and cognitive functioning, on self-perceived health, a predictor of chronic disease prevalence and mortality. We used data from the Survey of Health, Aging and Retirement in Europe (SHARE) project gathered between 2013 and 2017, obtaining a sample of 96,902 participants (63.23 ± 6.77 years). We found a strong association between the self-perceived health rating and not only physical health aspects but also mental health and cognitive functioning. In particular, BMI, chronic diseases and medications, muscle strength, and mobility issues had a strong effect on self-perceived health, as also did the quality of life, depression, and verbal fluency, while other aspects, such as individual characteristics, limitations in daily activities, and pain, among others only had a small effect. These results show that public health and prevention interventions should prioritize the targeting of all aspects of well-being and not only of physical health, acknowledging self-perceived health rating as a simple tool that could help provide a complete overview of psycho-physical well-being and functional status.