Optimism and self-efficacy have been associated with psychological health. Empathy has also been found to promote positive functioning and to have a unique role in community health volunteering. This study investigated whether self-efficacy and optimism were associated with psychological and subjective well-being in a group of healthcare volunteers and whether empathy added incrementally to these associations. A sample of 160 Italian clown doctors volunteering in various hospitals completed self-report measures of self-efficacy, optimism, empathy, psychological well-being, and subjective well-being. Results indicated that self-efficacy and optimism were associated with both outcomes and that aspects of empathy, such as others’ perspective-taking and personal distress for others’ difficulties, incrementally added to these associations, although with opposite effects. The present study adds to previous research on the role of self-efficacy, optimism, and empathy for community health volunteers’ psychological health and offers suggestions regarding the training of this type of volunteer.