China's internal rural-urban migrants experience social exclusion that may have significant mental health implications. This has historically been exacerbated by the hukou system. Echoing recent calls for interdisciplinary research on the interdependencies of urbanization and mental health, this review examines evidence of rural-urban migrants’ mental health status in comparison with nonmigrants and its association with various dimensions of social exclusion. We found conflicting evidence on the mental health status of migrants in comparison with nonmigrants, but strong evidence that social exclusion is negatively associated with migrants’ mental health: limited access to full labour rights and experience of social stigma, discrimination and inequity were the most significant factors. We discuss the limitations of current social epidemiological research and call for an attempt to use close-up, street-level ethnographic data on the daily experience of being a migrant in the mega-city, and describe our aim to produce a new sociological deep surveying instrument to understand migration, urban living, and mental health.