Why are the unemployed particularly unhappy in some societies? According to the social norm theory of unemployment, the well-being of the non-employed is lower in countries with a strong social norm to work because of the greater stigma attached to unemployment. In this study, a social norm to work has been defined as the extent to which people expect others to work: do people think the unemployed should take any job they are offered, or should they have a right to refuse? The combined world and European values study and the European social survey were used to test the theory. Multilevel analyses show that—net of one’s own norm and other measures of the social norm to work, such as one’s personal work ethic—the well-being of unemployed men is lower in countries with a strong social norm to work, in particular that of the long-term unemployed. Overall, it appears that the social norm to work still weighs more heavily upon men than women.