The authors used Medical Expenditure Panel Survey data for 81,097 respondents in 2004-2007, a period of economic expansion, to examine psychological distress among depressed and nondepressed persons in four categories: employed (73%), unemployed (23%), recent job loss (4%), and recent job gain (<1%). Depressed persons who experienced job loss or unemployment were significantly more distressed than depressed persons who were employed. Among depressed persons, on all measures of distress except one (worthlessness), unadjusted distress levels for those who gained a job were higher than for those who had lost a job. Measurements of the social costs of job instability need to account for costs related to unemployment and underemployment.