This study examines the potentially mediated relationship between volunteering and well-being. Using survey data from a random sample (N = 2,990) of the population of the state of Victoria, Australia, three hypotheses were tested: Volunteers will report higher well-being than nonvolunteers; volunteers will report higher self-esteem, self-efficacy, and social connectedness than nonvolunteers; self-esteem, self-efficacy, and social connectedness will mediate the relationship between volunteer status and well-being. Results supported the hypotheses and showed that self-esteem, self-efficacy, and social connectedness were all significant mediators of the volunteering–well-being relationship. Increased social connectedness associated with volunteering was found to be the strongest first step in these pathways. This points to the importance of social connection for well-being, but future research using longitudinal designs is required to further test these relationships and provide the capacity for evidence of causality.