Immigration has fundamentally changed American society by increasing racial and ethnic diversity. Yet, our knowledge of the relationship between immigrant status and mental health remains limited. This study provides evidence that Filipino American immigrants have significantly lower levels of depressive symptoms than Filipinos born in the United States, net of gender, age, marital status, socioeconomic status, and place of residence. I also examine the mediating effects of individualism, collectivism, ethnic identification, and perceived racial/ethnic discrimination to understand why immigrants are healthier. Furthermore, my results suggest that age at immigration warrants more attention. Immigrating during childhood predicts significantly higher levels of depressive symptoms in adulthood than immigrating after childhood, independent of the duration of residence in the United States. Although this study is specific to Filipino Americans, it has implications for theories about selective migration and the social psychological ramifications of adapting to American culture as a racial/ethnic minority. (Contains 7 footnotes and 3 tables.)