Owner/managers of small-to-medium enterprises (SMEs) are an under-researched population in terms of psychological distress and the associated health and economic consequences. Using baseline data from the evaluation of the Business in Mind program, a mental health promotion intervention amongst SME owner/managers, this study investigated: (i) prevalence of high/very high psychological distress, past-month sickness absenteeism and presenteeism days in SME owner/managers; (ii) associated, self-reported lost productivity; and (iii) associations between work, non-work and business-specific factors and work attendance behaviours. In our sample of 217 SME owner/managers 36.8% reported high/very high psychological distress. Of this group 38.7% reported past-month absenteeism, 82.5% reported past-month presenteeism, and those reporting presenteeism were 50% less productive as than usual. Negative binomial regression was used to demonstrate the independent effects of socio-demographic, work-related wellbeing and health-related factors, as well as various individual and business characteristics on continuous measures of absenteeism and presenteeism days. Health-related factors (self-rated health and treatment) were the strongest correlates of higher presenteeism days (p < 0.05). Work-related wellbeing factors (job tension and job satisfaction) were the strongest correlates of higher absenteeism days (p < 0.05). Higher educational attainment, treatment and neuroticism were also correlated with more absenteeism days. SME-specific information about the occurrence of psychological distress, work attendance behaviour, and the variables that influence these decisions, are needed for the development of guidelines for managing psychological distress within this sector.