Tropical forest frontier areas support the well‐being of local populations in myriad ways. Not only do they provide the material basis for people's livelihoods, they also sustain socio‐cultural foundations through relational values. They host some of the most biodiverse ecosystems and largest carbon stocks on the planet, and are thus a focus of global conservation efforts. They are also a prime location for the production of many global agricultural commodities. These dynamics—often intertwined—may trap local populations between powerful interests, with the potential to affect their well‐being. We conducted 100 structured interviews in four biodiversity‐rich landscapes of north‐eastern Madagascar to investigate how multi‐dimensional human well‐being is affected by the recent establishment of protected areas and surge in cash crop prices. We asked households about their satisfaction—and changes in satisfaction—with locally relevant well‐being components, mapping their answers through Nussbaum's Central Capabilities approach. We also investigated the cultural significance of key natural resources beyond the material benefits they provide. All issues were explored along four variables: site, main source of rice, gender and household land use portfolio. Our findings are as follows: first, human capabilities are interconnected and mutually interdependent, with relational values linking many of them. Second, subjective accounts of well‐being are influenced by cognitive biases, such as treadmill effects, adaptive preferences and recency bias. Third, while households perceived a positive influence of protected areas, those most reliant on forest land and products held a more negative view of conservation interventions. And fourth, while households more engaged in commercial agriculture may be benefitting economically from the recent increase in cash crop prices, these very dynamics might be leading to trade‐offs between capabilities. This is most notably so for the Bodily Health capability (e.g. greater spending on housing) and Affiliation and Bodily Integrity (i.e. worsening social relations and security). These insights highlight the importance of addressing the multiple dimensions of well‐being when assessing the impacts of conservation and economic dynamics in forest frontier populations. Particular attention should be paid to the relational values ascribed to the natural resources the communities rely on. Read the free Plain Language Summary for this article on the Journal blog.