We conducted a probability-based survey of migrant flows traveling across the Mexico-US border, and we estimated HIV infection rates, risk behaviors, and contextual factors for migrants representing 5 distinct migration phases. Our results suggest that the influence of migration is not uniform across genders or risk factors. By considering the predeparture, transit, and interception phases of the migration process, our findings complement previous studies on HIV among Mexican migrants conducted at the destination and return phases. Monitoring HIV risk among this vulnerable transnational population is critical for better understanding patterns of risk at different points of the migration process and for informing the development of protection policies and programs.