Since the early 2000s, evidence has been accumulating that subjective social status - a person's sense of their own position on the social ladder - affects health above and beyond objective socioeconomic status. To date, however, little is known about how these distinct health effects of subjective social status can be explained. This article narratively reviews different explanatory approaches and key methodological challenges, backed up by empirical findings and supplemented by the authors' own reflections. Both social-psychological and psychoneurobiological explanations can make a theoretically plausible contribution to explaining the subjective social status-health relationship. Experimental and panel designs appear promising for addressing important methodological challenges in this strand of research.