The growing recognition of the importance of cultural and creative sectors as sources of creativity and innovation has put emphasis on the development of entrepreneurs within this field. Cultural entrepreneurs are often described as being driven by artistic, rather than entrepreneurial, ambitions, where value creation is based on unique expressions, requiring them to engage in continuous innovation to sustain their activities, as well as facing challenging conditions. However, more understanding is needed on the work of these entrepreneurs and how they deal with challenges. The purpose of this paper is thus to explore the work of cultural entrepreneurs by integrating the current understanding of its challenges and strategies. Through reviewing empirical articles focusing on entrepreneurs in these industries and analyzing how the activities of entrepreneurs are described, we argue that the academic conversation around these entrepreneurs revolves around broad questions: who they are, what they have and where they are. These questions constitute three domains of entrepreneurial activity. We outline the challenges and strategies of cultural entrepreneurs and discuss the dynamics in the interplay between challenges and strategies within and across these domains. In highlighting the interplay between challenges and strategies, we advance the knowledge of entrepreneurship in the cultural and creative sectors and provide avenues for further research.