Maybe most folks have already seen this... sorry if that's case. But the nearly 1300-page chartbook from the Fed's survey of consumer finance has a bunch of interesting charts including several dozen that show how self-employment impacts a person's income, their net worth, etc.
Here's the ilnk:
https://www.federalreserve.gov/econres/files/BulletinCharts.pdfThe most relevant charts for entrepreneurs--which show business holdings--start on page 725-ish and go for many pages.
Pretty interesting stuff. In a nutshell, and sorry to bang this drum again, small business ownership can work pretty well for some folks.