This paper contrasts the mental and physical health impacts of vulnerability and economic insecurity. Vulnerability refers to exposure to economic risks for individuals just above the poverty line, while insecurity relates to risk exposure at any point in the income distribution. Using data from the first 11 waves of the Australian HILDA panel, we generate four alternative measures of real or perceived downside economic risk and employ fixed effects regressions to estimate their impacts on SF-36 mental and physical health indices. Our method also uses a series of polynomial interactions to allow the effect sizes to vary non-linearly with income. Baseline estimates show that economic risks have consistently negative consequences for both mental and physical health, with the former effect being around three times the size of the latter. However our main finding is that increasing incomes do little to mitigate the sensitivity of health to these risks. Nonetheless poorer people still face larger health costs than richer people due to greater degrees of exposure. Combining these estimates reveals that differentials in economic risk over the income distribution are quantitatively meaningful and explain about 10% of the income-health gradient.