This study examines general life satisfaction and happiness as two indicators of subjective well-being among Roma and non-Roma populations in Central and Southeastern Europe. Using a sample of 11,997 participants (Roma N = 8,399, non-Roma N = 3,598) from the Regional Roma Survey in 2011 we test a structural equation model which considers self-rated health, income, education, quality of housing, perceived (ethnic) discrimination, and ethnic group identification as mediators of the relationship between Roma/non-Roma group membership and subjective well-being. Well-being was found to be lower among Roma compared to non-Roma and this was fully due to Roma's lower health status, lower income, lower education, lower quality of housing, lower ethnic identification, and higher perceived discrimination. The findings confirm that Roma have fewer resources for the attainment of need-gratification which negatively affects their happiness and life satisfaction, thereby, refuting the romanticized image of the Roma as 'poor but happy people'.