The present study aimed to integrate the social identity approach to health and well‐being with social network analysis. Previous research on the effects of social network centrality on stress has yielded mixed results. Building on the social identity approach, we argued that these mixed results can be explained, in part, by taking into account the degree to which individuals identify with the social network. We hence hypothesized that the effects of social network centrality on stress are moderated by social identification. Using a full roster method, we assessed the social network of first‐year psychology students right after the start of their study programme and three months later. The effects of network centrality (betweenness, closeness, eigenvector centrality) and social identification on stress were examined using structural equation models. As predicted, our results revealed a significant interaction between network centrality and social identification on stress: For weakly or moderately identified students, network centrality was positively related to stress. By contrast, for strongly identified students, network centrality was unrelated to stress. In conclusion, our results point to the perils of being well‐connected yet not feeling like one belongs to a group.