We investigate the health impacts of unemployment during the Great Recession and are the first to focus on incidence of chronic diseases in a unique individual-level longitudinal database of Electronic Health Records. We exploit the exogenous shock in the economic conditions occurred in 2008 in Italy to estimate heterogenous effects of unemployment in an individual fixed effects model. Our results document that economic downturns have a long-lasting effect on the incidence of cardiovascular diseases and a temporary effect on depression. The effects increase with age and are stronger right before retirement age. Women are disproportionally affected by cardiovascular diseases, while men are disproportionately affected by depression. An important recommendation emerging from this study is that policy makers should bear in mind that prolonged economic downturns constitute an additional external risk for individual health and not a temporary benefit.