Latino immigrants, particularly Mexican, have some health advantages over U.S.-born Mexicans and Whites. Because of their lower socioeconomic status, this phenomenon has been called the epidemiologic “Hispanic Paradox.” While cultural theories have dominated explanations for the Paradox, the role of selective migration has been inadequately addressed. This study is among the few to combine Mexican and U.S. data to examine health selectivity in activity limitation, self-rated health, and chronic conditions among Mexican immigrants, ages 18 and over. Drawing on theories of selective migration, this study tested the “healthy migrant” and “salmon-bias” hypotheses by comparing the health of Mexican immigrants in the U.S. to non-migrants in Mexico, and to return migrants in Mexico. Results suggest that there are both healthy migrant and salmon-bias effects in activity limitation, but not other health aspects. In fact, consistent with prior research, immigrants are negatively selected on self-rated health. Future research should consider the complexities of migrants’ health profiles and examine selection mechanisms alongside other factors such as acculturation.