Using the 2004-2007 Medical Expenditure Panel Survey data that are linked to county-level data from the Area Health Resources Files, this study examined whether the healthy immigrant effect applies to mental health of foreign-born older adults. Additionally, testing a protective ethnic density effect on older foreign-born individuals' mental health, this study examined how the percentage of foreign-born population in the county affected the relationship between older adults' immigration status (U.S.-nativity and length of residence in the U.S.) and their mental health status. The sample included 29,011 individuals (level-1) from 920 counties (level-2) across 50 states and D.C. Using the Mental Component Summary of the Short-Form 12, the Kessler Index (K-6), and the Patient Health Questionnaire (PHQ-2), U.S.-born individuals (n = 24,225), earlier immigrants (aeyen15 years in the U.S.; n = 3866), and recent immigrants (< 15 years in the U.S.; n = 920) were compared. The results indicate that recent immigrants showed worse mental health on all three measures compared with U.S.-born individuals and on the K-6 and PHQ-2 compared with earlier immigrants. Higher county-level foreign-born densities were associated with worse mental health status of individuals. However, the significant interactions found in the full conditional multilevel models indicated that the high foreign-born density functioned as a risk factor for worse mental health only among recent immigrants but not among the U.S.-born. In conclusion, the results revealed the vulnerability of older recent immigrants, especially those living in the counties with high foreign-born densities.