Background: Previous research has reported a decrease in all-cause mortality during times of economic recession. Our objective was to identify the short-term effects of the current Great Recession on life expectancy at birth in Europe, and the role of social protection typology, income and gender. Methods: We used a pooled time series cross-sectional design, with 232 European regions (level 2 of the Nomenclature of Territorial Units for Statistics) as the unit of analysis over 10 years (2003–12). The dependent variable was life expectancy at birth, and the independent variable was unemployment rate. We fit a model in first differences for the periods before and during the Great Recession (2003–07 and 2008–12, respectively), and stratified by sex, social protection typology (Eastern, Mediterranean and Northern) and regional income per capita. Results: We observed a negative association during the Great Recession between life expectancy (in years) and in unit change in unemployment among men and women in low-income Mediterranean regions [−0.048(95%CI: −0.081,−0.014) and −0.050(95%CI:−0.091,−0.007), respectively] but no change in trend, and a change in trend to a non-significant negative association among men in high-income Mediterranean and Northern regions (P = 0.005 and P = 0.002, respectively). We also observed a positive association among men in middle-income Mediterranean regions [0.044 (95%CI:0.004,0.084)], with change in trend (P = 0.047), and Eastern regions [0.042 (95%CI:0.001,0.072)] without change in trend. Conclusion: Overall, our data do not support the notion that increased life expectancy is associated with unemployment during the Great Recession.