This research examines factors associated with lifetime major depressive disorder in racial and ethnic minorities residing in the USA, with an emphasis on the impact of nativity, discrimination, and health lifestyle behaviors. The Healthy Migrant Effect and Health Lifestyle Theory were used to inform the design of this project. The use of these frameworks not only provides insightful results but also expands their application in mental health disparities research. Logistic regression models were implemented to examine risk factors associated with lifetime major depressive disorder, comparing immigrants to their American-born counterparts as well as to American-born Whites. Data were derived from the Collaborative Psychiatric Epidemiology Surveys (n = 17,249). Support was found for the hypothesis that certain immigrants, specifically Asian and Afro-Caribbean, have lower odds of depression as compared their non-immigrant counterparts. Although, Hispanic immigrants directionally had lower odds of depression, this finding was not statistically significant. Furthermore, engaging in excessive alcohol consumption was associated with higher rates of depression (odds ratio (OR) = 2.09, p < 0.001), and the effect of discrimination on depression was found to be significant, even when controlling for demographics. Of all racial and ethnic groups, foreign-born Afro-Caribbeans had the lowest rate of depression at 7 % followed by foreign-born Asians at 8 %.