Many nonprofit emergency service organizations rely heavily on volunteers. With the recent decline in volunteer numbers and the associated economic cost, it is important for nonprofit organizations to develop strategies aimed at improving volunteer retention. To this end, we applied job demands‐resources theory to examine how volunteer demands and resources explain volunteers' well‐being (i.e., exhaustion and engagement) and consequently, retention and mental health (i.e., depressive symptoms). Specifically, we hypothesized that: (1) exhaustion mediates the positive relationship between demands and depressive symptoms, and the negative relationship between demands and retention; (2) engagement mediates the positive relationship between resources and retention; (3) resources buffer the positive relationship between demands and exhaustion; and (4) demands boost the positive relationship between resources and engagement. Volunteer firefighters (N = 126) were asked to complete a self‐report questionnaire twice over a 1‐year period. Results showed that increases in engagement mediated the positive relationship between resources and retention over time. Contrary to expectations, volunteer resources boosted the positive relationship between volunteer demands and increases in exhaustion. Namely, demands related positively with exhaustion particularly when resources were high (instead of low). Collectively, the study results have important theoretical implications since they suggest that demands do not always have long‐term, unfavorable consequences for volunteer firefighters. In contrast, resources enhance volunteer engagement and consequently, promote retention in the long run. Therefore, it is important for volunteer organizations to provide relevant resources to their members to keep them engaged and enhance their willingness to remain in the force.