We examined whether self-esteem and ethnic identity moderated or mediated the relationship between two types of acculturative stress (American-based and Mexican-based) and psychological well-being among 171 first-generation Mexican immigrant adults. American-based acculturative stress (ABAS) was defined as the stress related to the pressure from Anglo-Americans to improve English and adopt their cultural practices, while Mexican-based acculturative stress (MBAS) was related to the pressure from Mexican immigrants to improve Spanish and retain Mexican cultural practices. The findings suggested that self-esteem was negatively affected by acculturative stress, which, in turn, led to decreased psychological well-being. However, having high self-esteem alleviated the debilitating effects of acculturative stress against psychological well-being. In contrast to self-esteem, ethnic identity exacerbated the negative effect of acculturative stress on psychological well-being.