This study assessed levels of depressive symptomatology in a household probability sample of Mexico-born (N- 706) and U.S.-born (N=538) Mexican Americans. We hypothesized that immigration status differences in acculturation, strain, social resources, and social conflict, as well as differences in the associations of these variables with depression, would account for differences in depression between U.S.-born and Mexico-born respondents. U.S.-born Mexican Americans had higher depression scores than those born in Mexico. When cultural and social psychological variables were controlled in a multiple regression analysis, the immigrant status difference persisted. Tests of interaction terms suggested greater vulnerability to the effects of low acculturation and low educational attainment among the U.S.-born relative to those born in Mexico; however, the immigrant status difference persisted after controlling for these interactions. Unmeasured variables such as selective migration of persons with better coping skills, selective return of depressed immigrants, or generational differences in social comparison processes may account for the immigration status difference.