Government employment programmes play an important role in addressing unemployment and promoting entrepreneurship in rural areas of India. Among these initiatives, the Prime Minister Employment Generation Programme (PMEGP) has emerged as a key policy instrument aimed at encouraging self-employment and small enterprise development. This review paper examines the role of PMEGP in promoting sustainable entrepreneurship in rural Rajasthan. The study reviews existing literature, government reports, and policy documents to understand how PMEGP contributes to economic, social, and long-term entrepreneurial sustainability. The review highlights the scheme’s impact on employment generation, income creation, and enterprise development among rural populations, including youth and women. At the same time, it identifies key challenges related to awareness, credit accessibility, skill development, and post-establishment support. The paper also discusses policy gaps and the need for stronger institutional coordination to enhance the sustainability of PMEGP-supported enterprises. By focusing on rural Rajasthan, this review provides region-specific insights and contributes to a better understanding of how government employment programmes can support sustainable entrepreneurship development.