The number of PhD candidates who experience psychological problems has risen significantly over the past few years. Poor mental health can have numerous negative consequences for PhD candidates and their supervisors, as it may adversely affect their quality of life, attrition, and academic productivity. Despite these well-documented challenges, few studies have looked at how the supervisor-supervisee relationship can influence the emotional well-being of male and female doctoral candidates. The current work examined the role of the supervisor's support in emotions and intended doctoral persistence among men (n = 411) and women (n = 514), in all disciplines at two large universities in Belgium. Results indicate that emotional well-being was low for all doctoral candidates but women experienced even more negative emotions (anxiety, stress, discouragement, demoralization, sadness and depression) and fewer positive emotions (confidence, optimism, happiness, fulfillment, satisfaction and content) than men. Interestingly, we also found that perceived structure and autonomy, two dimensions of supervisor support, have a positive effect on emotional well-being and intention of pursuing a PhD trajectory for both men and women. This paper makes a contribution to the higher education and research supervision literature by offering new directions for research and by providing guidelines for the training of research supervisors.