Immigrants often have lower rates of depression than US-natives, but longitudinal assessments across multiple racial–ethnic groups are limited. This study examined the rates of prevalent, acquired, and persisting major depression and dysthymia by nativity and racial–ethnic origin while considering levels of acculturation, stress, and social ties. Data from the National Epidemiologic Survey on Alcohol and Related Conditions were used to model prevalence and 3-year incidence/persistence of major depression and dysthymia (DSM-IV diagnoses) using logistic regression. Substantive factors were assessed using standardized measures. The rates of major depression were lower for most immigrants, but differences were noted by race–ethnicity and outcome. Furthermore, immigrants had higher prevalence but not incidence of dysthymia. The associations between substantive factors and outcomes were mixed. This study describes and begins to explain immigrant trajectories of major depression and dysthymia over a 3-year period. The continuing research challenges and future directions are discussed.