Immigrants tend to exhibit better mental health compared to their U.S.-born counterparts, but this immigrant health advantage is not uniform across immigrant populations. The objective of this study is to examine if the immigrant health advantage extends to incarcerated individuals and if there are differences by race and/or ethnicity. We used data from the 2016 Survey of Prison Inmates (n=20,226) and multivariable linear and logistic regression models to examine the relationship between immigration status, race and/or ethnicity, and mental health (psychological distress, depression, anxiety) among imprisoned individuals. The analytic sample included Black (n=7,104), Latino (n=5,029), and White (n=8,093) respondents, ten percent of whom were foreign-born. The average Kessler 6-item psychological distress score was 5.9 and 24.4% and 19.8% of respondents reported ever having been diagnosed with depression and anxiety, respectively. Incarcerated U.S.-born individuals reported significantly more symptoms of psychological distress (β=0.89; C.I.=0.46,1.32; p<0.001) and higher odds of depression (OR=2.03; C.I.=1.64,2.50; p<0.001) and anxiety (OR=2.30; C.I.=1.82, 2.90; p<0.001) compared to incarcerated foreign-born individuals. When stratified by race and/or ethnicity, the same patterns emerged for incarcerated Latino individuals by U.S. birth. In contrast, incarcerated U.S.-born Black individuals had lower levels of psychological distress (β=-1.64; C.I.=-2.99,-0.29; p<0.05) compared to incarcerated foreign-born Black individuals. No relationship between immigration status and mental health was observed among incarcerated White individuals. Findings suggest that the immigrant health advantage may vary by race and ethnicity within the imprisoned population.