This study sought to investigate the various SME development support initiatives in Zambia with a view to analyze the challenges as well as identify opportunities for further improvement. Considering the importance of SMEs in poverty reduction, the study examined the evolution of Zambia’s SME sector, the various SME policy initiatives and policy shifts as well as the existing institutional arrangements for SME support in Zambia. It further identified the challenges to SME development and support and lastly, it identified the opportunities for further improvement of SME development in Zambia. An analysis of various initiatives and policy measures revealed a number of challenges that are embedded in SME support institutions, organizations and entrepreneurs themselves. A great challenge still remains in creating a supportive and inclusive environment, tailored to the needs of the various SMEs in Zambia. Thus, the development of SMEs require concerted efforts and the will from all actors involved as well as learning from experiences of other countries (with caution). Further, the study identified opportunities and drew recommendations for the improvement of both policy and action.