This paper evaluates whether immigrants’ initial health advantage over their U.S.-born counterparts results primarily from characteristics correlated with their birth countries (e.g., immigrant culture) or from selective migration (e.g., unobserved characteristics such as motivation and ambition) by comparing recent immigrants’ health to that of recent U.S.-born interstate migrants (‘‘U.S.-born movers”). Using data from the 1999–2013 waves of the March Current Population Survey, I find that, relative to U.S.-born adults (collectively), recent immigrants have a 6.1 percentage point lower probability of reporting their health as fair or poor. Changing the reference group to U.S.-born movers, however, reduces the recent immigrant health advantage by 28%. Similar reductions in the immigrant health advantage occurs in models estimated separately by either race/ethnicity or education level. Models that examine health differences between recent immigrants and U.S.-born movers who both moved for a new job—a primary motivation behind moving for both immigrants and the U.S.-born—show that such immigrants have only a 1.9 percentage point lower probability of reporting their health as fair or poor. Together, the findings suggest that changing the reference group from U.S.-born adults collectively to U.S.-born movers reduces the identified immigrant health advantage, indicating that selective migration plays a significant role in explaining the initial health advantage of immigrants in the United States.