It may not be the job. When slicing through all the variables, and trying to control for multiple factors, these types of studies often end up saying, essentially, the jobless are no more likely to get sick unless they fit into one or more categories. But when you look at those categories—people with less education, people who are obese, people who smoke, people who don't have health insurance—they describe those who are more likely to get sick in general.
And so maybe the issue really isn't the workplace or the economy. Maybe we're too invested in a metaphoric connection between the economy's health and ours. After all, another body of literature suggests that good economic times are actually worse for our health. Christopher Ruhm, an economics professor at the University of North Carolina, has written journal articles with titles like "Good Times Make You Sick" and "Healthy Living in Hard Times." In an interview, he suggested that "in periods of economic weakness, physical health tends to improve, partially due to changes in lifestyle: people exercise more, drink less and smoke less." He also says that the stress of long hours in boom times takes people away from their doctors and their families, both of which contribute to poor health.
Ruhm cautions that his conclusions are only about the aggregate—individual mileage may vary—and that he's referring only to physical health; there's no question that mental health suffers in tough times. Still, for those without a job, it might be some tiny relief: You're not necessarily more likely to get sick, so take some time and go ride your bike with your family.