Objectives This study examined the effect of mode of migration—primary immigration (direct migration from origin country) and secondary immigration (migration from a country of residence other than the origin country)—by level of economic development of country of origin on psychological distress of immigrants to Canada. The study focused on the explanatory role of mastery in the relationship between mode of migration/level of economic development of origin country and distress. Mastery is the belief that one can and does master, control, and shape one’s own life. Methods Data from the Neighbourhood Effects on Health and Well-being study, which contains important measures such as the mode of migration, was used to assess the study objectives. The analytic sample included 1496 Canadian-born and 387 foreign-born (non-refugee) participants. Hierarchical linear modeling was used to address the study objectives. Results Results point to a “healthy immigrant effect”—lower distress among the foreign-born than the native-born—but only among primary immigrants from less-developed countries. Secondary immigrants from less-developed countries report higher distress than the native-born and their primary-immigrant counterparts. The higher distress among secondary immigrants was due in part to lower mastery among this group. Immigrants from developed origin countries did not report different levels of distress than the native-born, irrespective of mode of migration. Conclusion This study fills an important gap in the literature on immigration and mental health and reveals that the healthy immigrant effect is not generalizable to all immigrants; it is contingent on the mode of migration/level of economic development of the country of origin.