Although previous research has consistently documented that immigrants to the United States have better mental health than US natives, little is known about why this difference occurs. DSM-IV anxiety, mood, impulse control, and substance use disorders were assessed in a nationally representative survey of the US household population, the National Comorbidity Survey Replication. Differences in risk for disorder between immigrants (N = 299) and 5124 natives (N = 5124) were examined using discrete time survival models. Differences were estimated by generation, age of immigration, and duration of residence in the United States. Immigrants had lower lifetime risk of disorder than natives (OR = 0.7; 95% CI, 0.5-0.9). Risk was equally large for natives who were children of immigrants as for natives of subsequent generations. For mood and impulse control disorders, risk equal to that of natives was also found among immigrants who arrived in the United States as children (12 years of age or younger). Immigrants had lower risk than natives prior to arrival in the United States, but there was a trend toward equalization of risk with longer duration of residence in the United States. Differences in risk for disorder emerge within a single generation following immigration, consistent with a strong effect of environmental factors on changes in risk among immigrant populations. This pattern is consistent with either of two causal processes, one involving early socialization in the United States and the other involving postmigration experiences among immigrants who arrive in the United States as adults.