The aims of this study are to compare the level of psychological distress between Norwegian born and immigrants from countries with different income levels and culture, and to investigate the explanatory effect of socioeconomic and psychosocial factors, with special emphasis on lack of control (powerlessness and self-efficacy). A cross-sectional survey with self-administered questionnaire was conducted in 2000-2001 in a sample of 15,723 adults living in Oslo. Psychological distress was measured by a ten-item shortened version of Hopkins Symptom Checklist-25 items, whereas psychosocial variables were measured by various instruments. The results show that the level of psychological distress is significantly higher in immigrants from low- and middle-income countries than in the Norwegian born and the immigrants from high-income countries. They also report more powerlessness, more negative life events, less social support, less income and less paid work. It is concluded that negative life events, mainly related to social network, somatic health and economic situations, as well as lack of social support, are important mediators between immigration from low- and middle-income countries to Norway and psychological distress. Powerlessness also plays a role, but this is mainly because of a concept overlap between psychological distress and powerlessness.