This paper is based on the estimation of the effects of the self-employment of the Roma on their social values and work attitudes. To provide the evidence for the possible positive outcomes of starting their own business, we used a quasi experimental design, i.e. we provided the design based on a comparison of the self-employed Roma (experimental group) and those who did not start their business (control group). We tested the operational hypothesis onto eight measurements of the values and work attitudes. As a method, OLS regression and logistic regression have been employed. We found that self-employment policy of Roma can significantly contribute to their positive work attitude, internal locus of control, interpersonal trust, perceived treatment by the majority and job satisfaction. However, we found no significant effect of starting new business by the Roma onto intrinsic work orientation, gender equality attitude and overall life satisfaction. We conclude that promoting and investing in self-employment policy of the Roma and marginalized groups in general can be an effective policy measure in improving their overall social inclusion.