Low self-esteem and negative emotions often precede paranoid delusions. Theories have suggested that delusions might have a short term ‘stabilizing’ effect. The present pilot study tests whether a conspiracy explanation for social exclusion exerts a short-term positive effect on self-esteem and emotions compared to a self-blaming explanation but is not beneficial for the maintenance of self-esteem in the longer run. A sample from the general population (N = 60) was randomly assigned to a conspiracy, self-blaming or neutral explanation condition after being socially excluded in a virtual ball game. Self-esteem and emotions were assessed at four time-points (prior to exclusion, after exclusion, directly after and 15 min after receiving the explanation for the exclusion). There was a significant interaction of time and condition (F = 12.36, p ≤ 0.001) in support of the hypothesis that the conspiracy condition increases self-esteem more than the self-blame condition. There was a marginally significant effect for the conspiracy condition to decrease anxiety directly after receiving the explanation (F = 4.04, p = 0.05) more strongly than the self-blame condition and a trend for sadness (F = 3.17, p = 0.08). Finally, there was a trend for a stronger longer-term recovery of self-esteem in the neutral compared to the conspiracy condition (F = 3.41, p = 0.07). The results support the hypothesis that paranoid explanations lead to short-term stabilization of self-esteem.