Over centuries, extensive work has been done in the area of entrepreneurship and its impact on economic performance. Gradually, policy makers have realized that women can also contribute in the spur of economic development. Women have always made a visible and lasting impact of their economic participation in rural households. They have always contributed, in part or whole, to the earnings in the family. Economic dependency will bring confidence among women, which will further bring about an awareness of their rights and privileges. For the prosperity of the nation it is important for the women to be educated, self-supporting and are positive self-image. The best way to make Women socially and economically independent is by effectively generating self-employment opportunities in their own areas. Entrepreneurship is a Herculean task that is fraught with struggle, entailing both risk and effort. No one can truly understand the triumphs, trials and tribulations of an entrepreneur other than the entrepreneurs himself or herself. Women have to go through the same stage of setting up an enterprise as men. No doubt, women do have certain distinct set of factors that first impede their entry as entrepreneurs and later their survival as successful business-women. The paper is an attempt, to do exploratory study in respect to the support system provided by the government in countries like India, Saudi Arabia, United Arab Emirates, China, Uganda and Russia. This work can be used for further empirical research to compare and understand better international statistical comparability of SME's.