This study was aimed to figure out whether perceived stress mediates the relationship between perceived discrimination and psychological distress among Chinese migrant children and whether social support and engagement coping moderate the detrimental effects of perceived discrimination on psychological distress. The sample comprised 813 middle-school students (482 migrant children, 331 non-migrant children) from three schools in Southwest China. The results indicate that migrant children’s perceived discrimination and perceived stress are associated with psychological distress, and perceived stress does not mediate the relationship between perceived discrimination and psychological distress. Both social support and engagement coping are inversely related to psychological distress and compensate the deleterious influences of perceived discrimination and stress on psychological distress. These findings highlight the need to consider providing social support and cultivating engagement coping when designing mental health interventions to reduce the negative influence of perceived discrimination on Chinese migrant children’s mental health.