We describe how self-reported health (SRH) varies with gender and John Henryism (a strong behavioral predisposition to engage in high-effort coping to overcome adversity) in a low income sample of Serbian Roma. Data were collected in 2016 in several Roma settlements around Belgrade, Serbia. The sample consisted of 90 men and 112 women. In addition to John Henryism (JH), measured by a Serbian version of the John Henryism Scale, demographic data and data on SRH and family relationships dynamics were collected. SRH was positively correlated with age and JH, and negatively correlated with a history of chronic disease. Roma males and females differed significantly on JH and a number of other variables. For Roma women, multiple regression analyses revealed that a history of chronic disease, unemployment, age and daily stress level were negatively associated with SRH, while JH, SES and harmonious relationships with one's family/children were positively associated with SRH. For Roma men, there was no association between JH and SRH, but older age, being on welfare, a diagnosis of hypertension and extended family disputes were associated with poorer SRH. Hence, despite economic disadvantage and social exclusion from mainstream society, some Roma report good health and the ability to cope actively with economic disadvantage and social exclusion. This study adds to the literature on the cross-cultural relevance of JH theory for understanding health variations within socially and economically marginalized populations.