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Immigration continues to shape social, economic, and political life in the United States, making it important to better understand the immigrant experience. This study examines depressive symptoms among immigrants and U.S.-born individuals through the lens of the immigrant paradox thesis, which suggests that immigrants often arrive with better health outcomes despite socioeconomic disadvantage and acculturative stress. It also considers the health erosion hypothesis, which proposes that this advantage may weaken over time. Using nationally representative data from the 2021–2023 National Health and Nutrition Examination Survey (NHANES), depressive symptoms are measured using the PHQ-9 scale. Immigrants are categorized by duration of residence, and regression models control for age, gender, race/ethnicity, education, income, insurance status, and marital status. Results support the immigrant paradox. Immigrants report lower depressive symptoms than U.S.-born individuals across most duration categories, with the largest advantage among recent arrivals. However, this advantage declines with extended residence and is no longer statistically significant among immigrants living in the United States for 20 years or more, providing evidence of health erosion. Exploratory moderation analyses indicate that gender differences between immigrants and U.S.-born individuals emerge only after long-term settlement (20+ years), with the gender gap narrowing among long-term immigrants. Overall, the findings suggest that immigrant mental health advantages weaken over time and that the relationship between gender and depression becomes more pronounced in the context of extended residence.