Background: All-cause mortality is a global indicator of the overall health of the population, and its relation to the macro economy is thus of vital interest. The main aim was to estimate the short-term and the long-term impact of macroeconomic change on all-cause mortality. Variations in the unemployment rate were used as indicator of temporary fluctuations in the economy. Methods: We used time-series data for 21 OECD countries spanning the period 1960–2018. We used four outcomes: total mortality (0+), infant mortality (<1), mortality in the age-group 20–64, and old-age mortality (65+). Data on GDP/capita were obtained from the Maddison Project. Unemployment data (% unemployed in the work force) were sourced from Eurostat. We applied error correction modelling to estimate the short-term and the long-term impact of macroeconomic change on all-cause mortality. Results: We found that increases in unemployment were statistically significantly associated with decreases in all mortality outcomes except old-age mortality. Increases in GDP were associated with significant lowering long-term effects on mortality. Conclusions: Our findings, based on data from predominantly affluent countries, suggest that an increase in unemployment leads to a decrease in all-cause mortality. However, economic growth, as indicated by increased GDP, has a long-term protective health impact as indexed by lowered mortality.