Grandiose delusions (GDs) are found across a wide range of psychiatric conditions, including in around two-thirds of patients diagnosed with bipolar disorder, half of patients diagnosed with schizophrenia, as well as in a substantial proportion of patients with substance abuse disorders. In addition, over 10% of the healthy general population experience grandiose thoughts that do not meet full delusional criteria. Yet in contrast to other psychotic phenomena, such as auditory hallucinations and persecutory delusions, GDs have received little attention from researchers. This paper offers a comprehensive examination of the existing cognitive and affective literature on GDs, including consideration of the evidence in support of 'delusion-as-defence' and emotion-consistent' models. We then propose a tentative model of GDs informed by a synthesis of the available evidence designed to be a stimulus to future research in this area. As GDs are considered to be relatively resistant to traditional cognitive behavioural techniques, we then discuss the implications of our model for how CBT may be modified to address these beliefs. Directions for future research are also highlighted.