Objective: We evaluated potential explanations for advantaged mental health status among immigrant Asian American women compared to U.S.-born Asian American women. Method: In a nationally representative sample of 1,030 women (185 U.S.-born, 368 early-life immigrants [arrived before 25 years of age], 477 late-life immigrants), we examined the hypothesis that increased exposure to social risk factors mediate nativity-based differences in lifetime prevalence of depression and anxiety disorders. Indicators of social class were also examined as protective factors enjoyed by U.S.-born women that may suppress observed nativity-based disparities. We also examined whether there were group differences in reactivity to stress in predicting disorder. Results: U.S.-born women were twice as likely as late-life immigrants to report lifetime history of depression (odds ratio [OR] = 2.03, 95% CI [1.35, 4.54]) and anxiety (OR = 2.12, 95% CI [1.34, 5.19]). Nativity differences in perceived discrimination, family conflict, and cultural conflict explained disparities in rates of disorder. There was no support for the contention that immigrant women were more psychologically hardy or resilient to social stress. Conclusion: Findings suggest that the gap in mental health status between U.S.- and foreign-born Asian American women would indeed be magnified if differences in social status were accounted for, but also that ready explanations for the so-called immigrant paradox are found in differential levels of reported stress exposure.