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Incarcerated individuals in the U.S. often experience psychological distress; little, however, is known about the experiences of individuals detained in jails compared to those in prison. The incarceration experience impacts the recidivism and suicide risk of incarcerated populations. The difference in psychological distress between the two populations is examined by combining the importation and deprivation theories. Data from the National Inmate Survey, 2012 is used to address the research questions. Respondents in jails are matched with respondents in prisons using one-to-one greedy matching to reduce selection bias. The responses of the matched sample on relevant variables are then analyzed using multinomial logistic regression, which indicates that survey respondents detained in jail are more likely to report high levels of psychological distress than those incarcerated in prison. The implications of the presented results and suggestions for future research are discussed.