Mexican immigrants systematically exhibit better mental health than U.S. born residents, including those with Mexican heritage. The robust finding is often attributed to the healthy migrant hypothesis. This argument, however, falsely presumes that the Mexican and U.S. populations have similar mental health traits. In this paper, we examine a nationally-representative sample of Mexicans before they leave Mexico and after they arrive in the United States. Tests of within-person change allow us to assess 1) how migrants are selected on mental health and 2) how the process of migration changes mental health. We pay particular attention to gender differences in these processes. Our findings contradict the positive welfare interpretation of the mental health advantage observed among migrants. We observe that migration actually worsens the mental health of migrants and more so among women. We find no evidence of positive selection on mental health, further countering the “healthy migrant” hypothesis. Gender differences are discussed in the context of literature on migrant welfare.