Stress at work stems from the inability to deal effectively with daily stressors at work. It leads to a feeling of loss of control and forms a psychosocial risk factor in the workplace causing sickness absence, decreased work performance, and increased use of health care services. Stress at work also affects one’s stress experience in daily life activities beyond work and influences one’s subjective well-being and health situation. In terms of health, stress at work is known to affect disease incidence and longevity. Beyond the individual consequences, there are significant societal costs involved in stress experiences at work. Drawing upon the Job Demand-Control (JDC) model, this study investigates differences in work-related stress between the self-employed and wage workers. The JDC predicts that the self-employed experience less work-related stress than wage-workers, because self-employment can be seen as an “active job” in which high job demands are compensated by high job control.