Background: The mixed empirical evidence about employment conditions (i.e., permanent vs. temporary job, full-time vs. part-time job) as well as unemployment has motivated the development of conceptual models with the aim of assessing the pathways leading to effects of employment status on health. Alongside physically and psychologically riskier working conditions, one channel stems in the possibly severe economic deprivation faced by temporary workers. We investigate whether economic deprivation is able to partly capture the effect of employment status on Self-evaluated Health Status (SHS). Methods: Our analysis is based on the European Union Statistics on Income and Living Conditions (EU-SILC) survey, for a balanced sample from 26 countries from 2009 to 2012. We estimate a correlated random-effects logit model for the SHS that accounts for the ordered nature of the dependent variable and the longitudinal structure of the data. Results and Discussion: Material deprivation and economic strain are able to partly account for the negative effects on SHS from precarious and part-time employment as well as from unemployment that, however, exhibits a significant independent negative association with SHS. Conclusions: Some of the indicators used to proxy economic deprivation are significant predictors of SHS and their correlation with the employment condition is such that it should not be neglected in empirical analysis, when available and further to the monetary income.