We assess the likelihood of moderate and severe psychological distress among Black immigrants. We test the region of context framework, which states that Black immigrants from majority-Black and racially mixed regions of origin have better health outcomes than Black immigrants from majority-white contexts. We utilize data from IPUMS Health Surveys, 2000–2018. We employed partial proportional odds models to assess the likelihood of moderate and severe psychological distress among Black immigrants and U.S.-born Black Americans. All immigrant groups, except for Black Europeans, are significantly less likely to be in moderate and severe distress vis-à-vis U.S.-born Black Americans (p < 0.01). Black Africans are about 54–58% less likely to be in severe distressed compared to U.S.-born Black Americans. Black immigrants from racially mixed and majority-Black contexts (Mexico, Central America, Caribbean, South America, and Africa) are significantly less likely to be afflicted with moderate and severe distress than U.S.-born Black Americans.