Previous studies find U.S. immigrants have weaker socioeconomic gradients in health relative to non-Hispanic whites and their U.S.-born co-ethnics. Several explanations have been advanced but few have been tested empirically. We use data from the Mexican Family Life Survey and the U.S. National Health Interview Survey, including longitudinal data in the former measuring SES and health previous to emigration, to test if 1) immigrants “import” their gradients from the sending country, or if 2) they may be changing as a result of SES-graded acculturation among Mexican migrant men in two health indicators: obesity and current smoking. We find evidence consistent with the first hypothesis: the gradients of migrants measured prior to coming to the U.S. are not statistically different from those of non-migrants, as the gradients of each are relatively weak. Although the gradients for obesity and smoking appear to weaken with time spent in the U.S., the differences are not significant, suggesting little support for the selective acculturation hypothesis.