Using the 2008 and 2009 Rural–Urban Migration in China (RUMiC) survey data, two waves of a nationally representative survey dataset, this study examined the “healthy migrant phenomenon” with regard to mental health in China. The results show that migrants exhibited better mental health than urban residents did after controlling for variables of socioeconomic status in a regression analysis. The study confirms that the “healthy migrant phenomenon” does exist under the setting of internal rural to urban migration in China, and the socioeconomic status disparities between migrants and urban natives plays a vital role in the phenomenon. Taking advantage of the unique framework of the RUMiC survey data, we were able to use not only the samples of migrants and urban residents but also those of rural residents to assess the potential channels further. Our results provide some suggestive evidence that self-selection effect and “salmon effect” are possible mechanisms causing this phenomenon.