Job insecurity has been linked to increased risk of coronary heart disease (CHD), but underlying mechanisms remain uncertain. Our aim was to assess the extent to which this association is mediated through life style, physiological, or psychological factors. A total of 3917 men and women free from CHD provided data on job insecurity in the Whitehall II cohort study in 1997−1999. The association between job insecurity and CHD was decomposed into a direct and indirect effect mediated through unhealthy behaviors (smoking, high alcohol consumption, physical inactivity), sleep disturbances, ‘allostatic load’, or psychological distress. The counterfactual analyses on psychological distress indicated a marginally significant association between job insecurity and incident CHD (hazard ratio (HR) 1.32; 95 % confidence interval (CI) 1.00–1.75). This association was decomposed into a direct (HR 1.22, 95 %CI 0.92–1.63) and indirect association (1.08, 95 %CI 1.01–1.15), suggesting that about 30 % of the total relationship was mediated by psychological distress. No mediation was indicated via health behaviors, sleep disturbances, or allostatic load, although job insecurity was related to disturbed sleep and C-reactive protein, which, in turn were associated with CHD. In conclusion, our results suggest that psychological distress may play a role in the relation between job insecurity and CHD.