This study documents the mental health of Mexican migrant men in a new non-traditional settlement in the Rocky Mountain West and examines the role of family separation and other structural and situational stressors in relation to depressive symptoms. Using a community-based participatory research approach, we conducted interviewer-assisted surveys with 134 Mexican migrant men. Findings revealed that, overall, 46 % of participants reported depressive symptoms in the range for clinical concern and that single and married men who were separated from their families were particularly vulnerable to poor mental health. Best predictors of depression included both structural stressors (family separation, sending remittances to Mexico) and situational stressors (fearfulness, worry about police confrontation, treatment by non-Latinos, and lack of support). These findings highlight the need for complex and contextually-sensitive mental health interventions designed to protect this vulnerable population on the migration frontier and to promote their mental health.