Background: To investigate the cognitive experiences of completing composite time trade-off (C-TTO) and discrete choice experiment (DCE) tasks for the valuation of the Chinese Short Warwick-Edinburgh Mental Well‐being Scale (C-SWEMWBS) in Hong Kong in order to inform an appropriate preference elicitation protocol for this population. Methods: Eighteen think-aloud interviews employing concurrent and retrospective think-aloud techniques were conducted with Cantonese-speaking adult members of the general population. Each participant completed five C-TTO and five DCE tasks with tailor-made C-SWEMWBS states. Interview transcripts were transcribed verbatim, translated into English, and analysed thematically to identify patterns in participants’ thoughts and understanding during task completion. Results: Participants generally found the C-TTO and DCE tasks manageable. Four themes were identified that reflected participants’ experiences: (1) Interview design and structure, bringing attention to potential refinements in presentation and instructions; (2) Representation of items and levels, illustrating participants’ comprehension of the different C-SWEMWBS items and levels; (3) Influences on decision-making, identifying personal and external factors that shaped participant’s decisions; and (4) Appropriateness of measures, reflecting participant’s experiences in imagining and deriving utility values for mental well-being states. Conclusion: Despite highlighting areas that could be refined to minimise unnecessary cognitive burden, findings indicate that the design of the C-TTO and DCE tasks is both feasible and appropriate for the preference elicitation of C-SWEMWBS states in Hong Kong. This provides the basis for conducting a large-scale study to derive a preference-based value set for the C-SWEMWBS in Hong Kong for economic evaluations of interventions aimed at improving public mental well-being.