Many studies have shown that there is a general tendency for men to be more badly affected by unemployment when compared to women, although the extent varies across countries. The existing literature notes the gender differences and offers possible explanations, but does not formally test between these competing hypotheses. This paper contributes to the literature by exploring the root causes of the underlying gender dynamics behind the effect of unemployment on wellbeing. We test whether the gender differences in wellbeing associated with the experience of unemployment can be attributed to degrees of specialisation in the labour market, differences in the types of work undertaken by men and women, differences in personality traits, work identity or gender norms. We find that it is not all, but some, women who suffer less than men when experiencing job loss. The experience of women is differentiated by pay, work identity and, most powerfully, gender attitudes.