The Latino population in the United States, the majority of whom are Mexican, is one of the fastest growing. Similarly, the number of undocumented Mexican immigrants (UMIs) continues to swell. However, little is known about UMIs living in the United States, and much less is known about their mental health status. This interdisciplinary review of the literature aims to outline the current state of knowledge regarding the mental health of UMIs in the United States. Themes isolated from the literature include failure to succeed in the country of origin; dangerous border crossings; limited resources; restricted mobility; marginalization/isolation; blame/stigmatization and guilt/shame; vulnerability/exploitability; fear/fear-based behaviors; and stress, depression, and health implications.