Poor health among immigrants may be accounted for not only by socio-economic factors affecting individuals but also by the environment in which they live. We investigated the association of contextual factors with disparities in self-rated health between native and immigrant groups. The findings indicated that, compared with native-born Belgians, immigrant groups from Turkey and Morocco were more likely to have poorer self-rated health. When contextual factors and individual socio-economic status were allowed for, all immigrant groups had a health status that was similar to or even better than that of native-born Belgians. Immigrants face a double jeopardy at both the individual and the contextual level.