This study examines the causal effect of different voluntary roles in sport on individuals’ subjective well-being. Theoretically, volunteering can affect well-being through various mechanisms, including enjoyment, new contacts, skill development, exercising altruism, and relational goods. The empirical analysis uses data from 28 European countries (n = 52,957). Subjective well-being is measured with self-reported life satisfaction. The number of administrative roles (e.g., board or committee member, administrative tasks), sport-related roles (e.g., coach, instructor, referee), and operational roles (e.g., organize a sport event, provide transport) capture volunteering. The results of linear regression models support the positive relationship between volunteering and subjective well-being as evident in existing research. However, instrumental variable estimates reveal that only the number of operational roles has a significant positive effect on well-being, whereas the effects of administrative and sport-related roles are jointly significantly negative. The findings of this study have implications for sport organizations and policy makers.