Vocational training, aimed mainly at the most vulnerable groups of unemployed, was introduced in Spain during the 1980s, at a time of rising unemployment. Since then, its main objective has been integrating these people into the labour market; however, the results are unsatisfactory. In this regard, the seven focus group interviews carried out in the province of Cadiz (Spain) with different vulnerable groups show how the courses contribute significantly to the psychosocial well-being of the students. The findings are augmented by others obtained from 12 in-depth interviews with representatives of training centres and a survey of collaborating training centres of the Junta de Andalucía. These results are analysed based on Sen's capabilities approach and the human capital approach. In particular, the interviews with the centres representatives point to the existence of control relations on the part of the administration. Other factors, such as relationships between organisations and training regulations, also play a role. All this leads to the fact that the training for the unemployed does not favour the creation of opportunities for vulnerable groups and for centres to develop initiatives according to their needs and preferences, in line with the capability approach.