Social exclusion threatens control, belongingness and self-esteem, and such threats may produce distinct behavioural intentions. This study hypothesized that thwarted control would increase the intention towards unethical consumer behaviour. Additionally, it hypothesized that inhibiting belongingness and self-esteem would decrease the intention to engage in unethical consumer behaviour for reconnection. To test the hypotheses, we conducted two online experiments, with 117 (63 females and 54 males) and 188 (91 females and 97 males) participants in the 18-64 age range, using the Cyberball game to manipulate social exclusion. The result of the first study indicated that social exclusion diminished the level of control and increased participants' willingness to engage in unethical consumer behaviour. The result of the second study indicated that social exclusion decreased levels of belongingness and self-esteem and this decreased belongingness reduced the intention to engage in unethical consumer behaviour for reconnection. These results show that sense of control and belongingness are two psychological mechanisms through which social exclusion influences unethical behavioural intentions. To our knowledge, this is the first empirical study to analyze the role of control, belongingness, and self-esteem as the mechanism explaining why excluded individuals are more likely to engage in unethical consumer behaviour but less likely to do it for affiliation. Accordingly, the paper presents some important theoretical and practical implications in the consumer behaviour context.