While previous studies have established social capital as an important determinant of subjective well-being (SWB), the broader social context people are living in has not received much attention in terms of SWB. To address this issue, we propose the concept of social affiliation, measuring the feeling of belonging to the social whole, of being a respected and valued member of society. In contrast to standard concepts of social capital, social affiliation is not related to an individual’s direct environment (‘Gemeinschaft’), but concerns one’s relation to society (‘Gesellschaft’). Such a subjective evaluation of how an individual feels within a broader societal context is neither covered by traditional concepts of social capital nor by the concept of social cohesion which focuses on the macro level. A perception of oneself as living on the margins of society, of not being a respected member of society, is very likely to diminish subjective well-being. At the same time, it can be expected to not be completely unrelated to individual resources of social capital. Drawing on unique survey data from Japan, we analyze the triangle relationship between social capital, social affiliation and subjective well-being applying a structural equation model. Our results have two main implications. First, we show that social affiliation has an effect on subjective well-being that is independent from the effect of standard measures of social capital. Second, we find that social capital influences social affiliation, and thereby also has an indirect effect on subjective well-being. In terms of theory building our results suggest that social embeddedness has two elements which should be measured separately: a community dimension usually measured as social capital in terms of trust, personal networks and norms, and a societal dimension of being and feeling part of a ‘Gesellschaft’, measured as social affiliation.