While several studies have examined differences in the wage structure between informal and formal sectors in in specific developing countries, little is known about how wage gaps between the self-employed and employees differ across countries.  This paper uses a unique database of household surveys collected by the World Bank to document wage differentials between the self-employed and wage and salary employees over time and across more than 60 low, middle and high-income countries. We find that in approximately three quarters of the surveys, there is a wage penalty for self-employment. On average, the wage penalty is large for low-income countries; falls as per capita income increases, and rises again for high-income countries. Patterns with respect to labor market regulations are partially consistent with the canonical two-sector model. Countries where it is harder to start a business have moderately smaller self-employment penalties, presumably due to the exit of less productive entrepreneurs. On the other hand, there is no evidence that countries with more rigid employment regulations have larger self-employment penalties.