In this study we investigate the effects of active labour market policy measures on health and well-being and how these effects are connected with socioeconomic status. The data were collected among the participants (n = 212) in 24 conventional vocational training courses in Finland. According to the results, training was accompanied by improvements in health and well-being among participants with a higher socioeconomic status, whereas for blue-collar workers the changes were neutral or even detrimental. The results raise questions about the role of active labour market policy measures as a public service. There seems to be a risk that these types of measures maintain or even produce health differences between socioeconomic groups.