A classical question in political sociology is whether unemployment depresses political involvement. However, we still know very little about how individual and contextual factors influence the involvement of unemployed citizens. We therefore provide a framework to study variation across countries as well as among the unemployed. Borrowing mechanisms from psychological unemployment research, we develop a set of hypotheses about individual and contextual moderators that mitigate or exacerbate the negative effect of unemployment on political involvement. Our empirical analyses are based on the European Social Survey and use internal political efficacy as a dependent variable. Multi-level models with interaction effects show that the negative effect of unemployment on political efficacy is stronger in countries with low welfare state generosity, low levels of economic development, high unemployment rates, and large income inequality. On the individual level, the negative effect is stronger for men, middle-to-high-income earners, and political independents. The effect of age is hump-shaped (stronger negative effect for the young and older citizens). An important implication of our results is that public policies can foster the political integration of vulnerable citizens and therefore make a contribution to the functioning of democracy.