Although it is now widely acknowledged that the social environment plays an important role in people's health and well-being, there is considerable disagreement about whether social capital is a collective attribute of communities or societies, or whether its beneficial properties are associated with individuals and their social relationships. Using data from the European Social Survey (22 countries, N = 42,358), this study suggests that, rather than having a contextual influence on health, the beneficial properties of social capital can be found at the individual level. Individual levels of social trust and civic participation were strongly associated with self-rated health. At the same time, the aggregate social trust and civic participation variables at the national level were not related to people's subjective health after controlling for compositional differences in socio-demographics. Despite the absence of a main contextual effect, the current study found a more complex cross-level interaction for social capital. Trusting and socially active individuals more often report good or very good health in countries with high levels of social capital than individuals with lower levels of trust and civic participation, but are less likely to do so in countries with low levels of social capital. This suggests that social capital does not uniformly benefit individuals living in the same community or society.