There have been few empirical studies of ethnic differences in health within the American Black population. Logistic regressions were used to examine the relationships among ethnicity, nativity, depressive symptoms, and physical health in the two largest ethnic groups of American Blacks, African Americans and Caribbean Blacks. The data were from the National Survey of American Life, a national household survey representative of the non-institutionalized U.S. Black population. We found that African Americans, U.S.-born Caribbean Blacks, and Caribbean-born Blacks had significantly different self-ratings of their health and self-reports of being diagnosed with a chronic physical health condition: Caribbean-born Blacks had the best health outcomes and U.S.-born Caribbean Blacks had the worst. This finding remained significant even after considering self-reported depressive symptoms. This study highlights the importance of considering ethnic diversity, nativity and immigration as independent sources of variation in health status within the American Black population.