A growing body of literature suggests the need to better understand the subjective well-being (SWB) of students enrolled in cooperative education (co-op) programs. Some co-op students will be unsuccessful in securing employment, yet there is a scarcity of existing quantitative research outlining the impact that this will have on students, particularly first work-term students who are engaging in the job-search process for the first time. Using an integrated framework of SWB, this paper seeks to address the negative effect of co-op unemployment on SWB and the potential moderating effect of students' rejection sensitivity. Two self-report surveys were analyzed (n = 82). These were taken before and after first work-term students were informed of their employment results. The results showed a significantly negative main effect on SWB after discovering they were not employed, compared to their employed peers. Rejection sensitivity was found to be a moderator of the effect. These findings imply that consideration should be given to ways to support this group of co-op students to ameliorate effects of non-employment on well-being.