It has been shown in past research that unemployment has a large negative impact on subjective well-being of individuals. In this paper, I explore whether and to what extent people with more social capital are sheltered from the harmful effects of unemployment. Using data from the German Socio-Economic Panel 1984-2004, I find that social capital is an important predictor of well-being levels, but there is no evidence that it moderates the effect of unemployment on well-being. The well-being loss, in turn, is shown to predict job search and re-employment. Possible reasons for these findings are discussed, and suggestions for future research are given.