We examine the link between unemployment and subjective well-being by introducing historically sensitive variables related to neoliberal ideology and policies such as measures of self-blame, shame, work ethic and flexibility. Drawing on a survey study we find that young job seekers (N= 357) have a significantly lower self-reported subjective well-being than employed persons of the same age (N= 183). Young and older unemployed people (N= 52) report the same level of subjective well-being; however, older unemployed people score significantly higher on clinical measures of depression, anxiety and stress. In contrast, younger job seekers score significantly higher on measures relating to the neoliberal development. We identify a minority of people who do not perceive themselves as unemployed even though they formally are, and drawing on governmentality studies we infer them to be entrepreneurs. We highlight the need to recognize heterogeneity and historical sensitivity when addressing the complex relationship between subjective well-being and unemployment. The implications of this empirical study are that different groups might benefit from different interventions and that policy makers should take this into consideration.