Women comprise an increasing proportion of migrants. Many migrate voluntarily for sex work or practise survival sex; others are trafficked for sexual exploitation. To investigate how the context of mobility shapes sex work entry and HIV risk, during 2010 to 2011 we conducted in‐depth interviews with formerly trafficked women currently engaged in sex work (n = 31) in Tijuana and their service providers (n = 7) in Tijuana and San Diego. Women's experiences of coerced and deceptive migration, deportation as forced migration, voluntary mobility, and migration to a risk environment illustrate that circumstances resulting from migration shape vulnerability to sex trafficking, voluntary sex work entry, and HIV risk. Findings suggest an urgent need for public health and immigration policies providing integrated support for deported and/or recently arrived female migrants. Policies to prevent sex trafficking and assist trafficked females must consider the varying levels of personal agency involved in migration and sex work entry.