Better be envied than pitied.

The proverb treats an enviable position as preferable to a pitiable one. Envy may be unpleasant to receive, but pity implies a hardship the speaker would rather avoid.

It can also express a willingness to accept resentment as the cost of doing well, instead of gaining sympathy through misfortune. The contrast is between the circumstances behind those reactions, not the reactions alone.

Use it when contrasting the discomfort of being envied with the hardship of needing sympathy, or when someone worries that their good fortune may provoke resentment.