In the present study we contrast materialistic (i.e., income and economic inequality) and psychosocial (i.e., social circumstances) pathway perspectives on whether volunteering while being unemployed mitigates the well–documented negative effects of unemployment on health, health behaviors, and well–being. We test our hypotheses using data from the 2010 and 2012 waves of the Swedish Longitudinal Occupational Study of Health (SLOSH; n 717). This is a nationally representative, longitudinal, cohort survey. We compared groups of individuals who were (a) unemployed and volunteering during both SLOSH waves (n 58), (b) unemployed and not volunteering during both SLOSH waves (n 194), (c) employed and volunteering during both SLOSH waves (n 139), and (d) employed and not volunteering during both SLOSH waves (n 326). Conducting a path analysis in Mplus, we examined the interaction effects between labor market status (i.e., employed or unemployed) and voluntary work (i.e., volunteering or not) when predicting changes in health, health behaviors, and psychological well–being. Our results indicate that volunteering during unemployment significantly decreased the likelihood to smoke, the amount of cigarettes smoked, the likelihood of consuming alcohol, and the likelihood of being diagnosed with hypertension. These results support a psychosocial pathway perspective. For all other indicators no such buffering interaction effect was obtained, thereby supporting a materialistic pathway perspective. Nevertheless, for some indicators, volunteering was found to be beneficial for both the unemployed and employed. Consequently, integrating both perspectives might offer a better explanation for the onset of ill–health and ill–being.