Drawing upon the Job Demand-Control (JDC) model, this study investigates differences in work-related stress between the self-employed and wage workers. The JDC model postulates that job demand increases work-related stress, whereas job control reduces it (also by weakening the effect of job demand on work-related stress). Based on this model, we predict that the self-employed experience less work-related stress than wage workers. Empirical analysis of a longitudinal sample from Australia (2005–2013) confirms our expectations and demonstrates that job control fully mediates the negative relationship between self-employment and work-related stress. Further analyses show that self-employed individuals with employees experience more work-related stress than those without employees because of higher job demand. •The Job Demand-Control model is used to understand origins of work-related stress.•A longitudinal Australian sample (HILDA; 2005–2013) is analyzed.•The self-employed report significantly less work-related stress than wage workers.•Job control fully mediates the relationship between self-employment and stress.•The self-employed with employees report more stress than those without employees.