In the United States, among Hispanics, Mexican Americans have the lowest rate of asthma. However, this population includes Mexican Americans born in the United States and in Mexico, and risk factors that might impact the prevalence of asthma differ between these groups. To determine the prevalence of and risk factors for asthma among U.S.- and Mexican-born Mexican Americans, we analyzed data from two U.S. surveys that included 4,574 persons who self-reported their ethnicity as Mexican American from the Third National Health and Nutrition Examination Survey (NHANES III) 1998–1994 and 12,980 persons who self-reported their ethnicity as Mexican American from National Health Interview Survey (NHIS) 1997–2001. U.S.-born Mexican Americans were more likely than Mexican-born Mexican Americans to report ever having asthma in both the NHANES III (7% [SE 0.5] vs. 3% [SE 0.3], p < 0.001) and NHIS surveys (8.1% [0.4] vs. 2.5% [0.2], p < 0.001). In a multivariate regression model controlling for multiple demographic variables and health care, the risk for asthma was higher among U.S.-born Mexicans in NHANES III (odds ratio 2.1, 95% confidence interval 1.4–3.3) and NHIS (odds ratio 2.7, 95% confidence interval 1.6–5.5). In conclusion, the prevalence of asthma was higher in U.S.-born than in Mexican-born Mexican Americans. This finding highlights the importance of environmental exposures in developing asthma in a migratory population.