Objectives: While status anxiety has received attention as a potential mechanism generating health inequalities, empirical evidence is still limited. Studies have been ecological and have largely focused on mental and not physical health outcomes. Methods: We conducted individual-level analyses to assess status anxiety (feelings of inferiority resulting from social comparisons) and resources (financial difficulties) as mediators of the relationship between socioeconomic status (SES) (education/occupation/employment status) and type 2 diabetes (T2D). We used cross-sectional data of 21,150 participants (aged 18–70 years) from the Amsterdam-based HELIUS study. We estimated associations using logistic regression models and estimated mediated proportions using natural effect modelling. Results: Odds of status anxiety were higher among participants with a low SES [e.g., OR = 2.66 (95% CI: 2.06–3.45) for elementary versus academic occupation]. Odds of T2D were 1.49 (95% CI: 1.12–1.97) times higher among participants experiencing status anxiety. Proportion of the SES–T2D relationship mediated was 3.2% (95% CI: 1.5%–7.0%) through status anxiety and 10.9% (95% CI: 6.6%–18.0%) through financial difficulties. Conclusion: Status anxiety and financial difficulties played small but consistent mediating roles. These individual-level analyses underline status anxiety’s importance and imply that status anxiety requires attention in efforts to reduce health inequalities.