Migration can affect the mental health of migrants. This cross-sectional study has two objectives: (1) to compare the prevalence of common mental disorder (CMD) between migrants (n = 458) living in Granada (Spain) and Spanish-born women (n = 448); (2) within migrants, to analyse the associations of world region of origin, other sociodemographic factors and post-migration features with the presence of CMD. Participants answered a questionnaire, including sociodemographic characteristics, post-migration features and CMD that was measured by Kessler K6-scale. Logistic regression analyses showed that CMD (K6 ≥ 13) was significantly higher among migrants than Spaniards. Compared with Spaniards, the odds of CMD were 3.6 [95 % confidence intervals (CI) 2.1–6.0] and 2.9 (CI 1.6–5.3), respectively, for Latin Americans and for Moroccan and other African women. Among migrants, Latin Americans as opposed to the reference group (migrants from other countries), had higher probability of CMD (OR 2.3, CI 1.1–4.9). This study supports the hypothesis that migration leads to mental distress. Consideration of world region of origin may clarify the differences observed in mental health across different migrant groups.