Evidence suggests that in the US perceived discrimination among migrants of Mexican origin is associated with depressive symptoms. Factors that confer resilience, such as religiosity, could serve as a mediating factor in the context of migration stressors. We hypothesized that migration is associated with higher depressive symptoms and that discrimination and religiosity would mediate this relationship in a binational (US and Mexican) sample of indigenous Mexican migrants. We applied path analysis modeling to test our hypotheses with a sample of 650 individuals (n = 583 in Mexico; n = 67 in US). Results indicated that migration experience and current US residence were associated with perceived discrimination, which in turn were associated with a higher risk for depressive symptoms. Among women not living in the US, religiosity was associated with lower perceived discrimination. Discrimination is pervasive among male and female transnational and domestic migrants and religiosity may serve as a protective factor against discrimination for some women.