In this article, an attempt was made to empirically analyze entrepreneurial behaviour entrepreneurs of MSME (Micro, Small and Medium Enterprise) in Chennai district, Tamil Nadu, India. The study was mainly based on primary data collected from 450 entrepreneurs selected using simple random sampling method among the population of MSME entrepreneurs in the study district by incorporating 35-item scale in a well-structured questionnaire. Likert type 5-point scale is used to measure the level of agreement with each item in the scale. The exploratory factor analysis and descriptive analysis were used to analyze the data. The exploratory factor analysis with principal component method was used to ascertain the dimensionality underlying entrepreneurial behaviour. The factor analysis produced six different entrepreneurial behaviours. The status of each entrepreneurial behaviour was identified by descriptive analysis. Before going for the above analysis, the internal consistency of the items in measurement scale was confirmed by Cronbach’s alpha coefficient. The entrepreneurial behaviour of entrepreneurs of MSME in the district under study was found to be overall good.