Migrant workers may experience higher burdens of occupational injury and illness compared to native-born workers, which may be due to the differential exposure to occupational hazards, differential vulnerability to exposure-associated health impacts, or both. This study aims to assess if the relationships between psychosocial job characteristics and mental health vary by migrant status in Australia (differential vulnerability). A total of 8969 persons from wave 14 (2014–2015) of the Household Income and Labour Dynamics in Australia Survey were included in the analysis. Psychosocial job characteristics included skill discretion, decision authority and job insecurity. Mental health was assessed via a Mental Health Inventory-5 score (MHI-5), with a higher score indicating better mental health. Migrant status was defined by (i) country of birth (COB), (ii) the combination of COB and English/Non-English dominant language of COB and (iii) the combination of COB and years since arrival in Australia. Data were analysed using linear regression, adjusting for gender, age and educational attainment. Migrant status was analysed as an effect modifier of the relationships between psychosocial job characteristics and mental health. Skill discretion and decision authority were positively associated with the MHI-5 score while job insecurity was negatively associated with the MHI-5 score. We found no statistical evidence of migrant status acting as an effect modifier of the psychosocial job characteristic―MHI-5 relationships. With respect to psychosocial job characteristic―mental health relationships, these results suggest that differential exposure to job stressors is a more important mechanism than differential vulnerability for generating occupational health inequities between migrants and native-born workers in Australia.