Self-employment can be stressful and its long-term effects on individual health could be significant; yet, the physiological outcomes of self-employment related stress remain under-explored. Drawing on allostatic load as a long-term biological consequence of physiological wear-and-tear and an indicator of stress response, we use three different studies to provide a more nuanced understanding of the relationship between self-employment and physiological outcomes. In Study 1, based on a sample of 194 self-employed and 1511 employed individuals, we find that self-employment is marginally related to allostatic load and allostatic load marginally mediates the relationship between self-employment and physical, but not mental, health. Study 2, based on a sample of 776 self-employed and 8003 employed individuals, extends these findings, and provides evidence that those who are self-employed for longer periods have a higher allostatic load. Finally, in Study 3 we draw on a sample of 174 twins and, consistent with Study 2, show that those reporting self-employment in two waves (about eight years apart) had a higher allostatic load, however, when leveraging problem-focused coping such individuals experienced lower allostatic load. Taken together, these three studies extend our understanding of the relationship between self-employment and wellbeing.