Although homelessness is inherently associated with social exclusion, homeless individuals are rarely included in conventional studies on social exclusion. Use of longitudinal survey data from a cohort study on homeless people in four major Dutch cities (n = 378) allowed to examine: changes in indicators of social exclusion among homeless people over a 2.5-year period after reporting to the social relief system, and associations between changes in indicators of social exclusion and changes in psychological distress. Multinomial logistic regression analysis was applied to investigate the associations between changes in indicators of social exclusion and changes in psychological distress. Improvements were found in various indicators of social exclusion, whereas financial debts showed no significant improvement. Changes in unmet care needs, health insurance, social support from family and relatedness to others were related to changes in psychological distress. This study demonstrated improvements in various indicators of social exclusion among homeless people over a period of 2.5 years, and sheds light on the concept of social exclusion in relation to homelessness.