The “immigrant health paradox” has captured the attention of researchers struggling to understand why immigrants to the United States appear to have health advantages that would not be predicted by their socioeconomic position. This research extends prior analyses through examination of the potential role of environmental factors in explaining the immigrant health paradox. We use data from the Phoenix Area Social Survey, a survey conducted in 2006 of approximately 800 individuals. Multilevel ordered logistic models examine three health outcomes: self-rated health, heat stress, and asthmatic symptoms. An innovation is our multiple considerations of contextual factors, including neighborhood amenities, disorder, traffic counts, and the heat index. We have three key findings: (1) frequent local migration has negative impacts on health, (2) the local neighborhood environment partially mediates differences between US-born non-Hispanic Whites and foreign-born Hispanics, and (3) subjective measures of the local environment tend to have greater effects than objective measures. In sum, our analyses suggested a need for studies of place and health to consider migration and residential history as a factor shaping health outcomes. Further, regarding the immigrant paradox, the results suggest the need to move beyond a dichotomous measure of immigration contrasting international migrants with native-born residents.