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Purpose – The purpose of this paper is to test a process model of coping with job loss by examining the impact of distal to proximal variable sets for incrementally explaining two distinct subjective well‐being variables: life satisfaction and unemployment stigma. A second purpose is to test for mean differences between study scales for increasingly long‐term unemployed individuals.Design/methodology/approach – A unique sample of unemployed victims completed an online survey investigating the impact of six variable sets on life satisfaction and unemployment stigma. These sets fall within the McKee‐Ryan et al. taxonomy and included: human capital and demographics; personal and financial coping resources; cognitive appraisal; escape‐focused coping; problem‐focused coping; and job search effort.Findings – Results partially supported the hypothesized variable set impact order on both life satisfaction and unemployment stigma. In addition some significant differences on study variables were found comparing fou...