The growth and existence of Small- and Medium-sized Enterprises (SMEs) relies on the investment in innovative practices, for instance renewable energy technologies, waste reduction systems, and eco-friendly product development. Essential to these innovation practices are the distinguishing features that millennial entrepreneurs possess. While innovation is fundamental for the evolution and survival of SMEs, research is limited to how millennial entrepreneurs’ traits like openness to experience and self-efficacy influence sustainable innovation. Based on contingency theory, this quantitative study explores this gap by studying the moderating roles of entrepreneurial self-efficacy and innovation culture in shaping sustainable practices among millennials entrepreneurs in Oman. The study proposed that an entrepreneur’s self-efficacy can positively or negatively moderate the relationship between the openness trait of millennial entrepreneurs and sustainable innovation practices. Similarly, a positive or negative effect can come from organizational innovation culture upon this relation too. The researchers utilized a survey using questionnaire and Partial Least Squares Structural Equation Modeling (PLS-SEM) statistical analysis methods to generate a broad description of how these entrepreneurs see and foster sustainable innovations. Results of this study exposed a small positive correlation but statistically insignificant between openness to experiences and sustainable innovation practices. In addition, the moderators of the study equally contributed to small positive though statistically insignificant impact on the sustainable innovation practices of the millennial’s entrepreneurs in Oman. This study contributes to the current body of knowledge on entrepreneurship and sustainability and provides substantial indication on the sustainable innovation of small-medium enterprises.