In this study, we simultaneously examined the influence of both informal and formal social capital at the individual and at the national level on health. Information from the first wave of European Social Surveys (2002) on 29,050 individuals from 17 European countries and Israel was analysed using multi-level regression models. We controlled for several individual and national characteristics. Self-rated health was used as an indicator of people’s general health status. First, we found that individual formal and informal social capital is positively related to health in almost all countries, but that the strength of these associations varies markedly across societies. Second, we found that the health of those who lack informal social networks as individuals is better in countries with high levels of informal and formal social capital. On the other hand, individuals lacking formal social networks are not compensated by high levels of formal and informal social capital at the national level. We conclude that including informal social capital is important to obtain a comprehensive view on the role of contextual social capital as a compensatory source for individuals lacking social networks.