Has mass migration from Mexico since the 1980s contributed to a well‐documented decline in US social capital? Theories linking ethnic diversity to lower social cohesion and participation (e.g., Putnam 2007, 30, 137) would strongly predict this effect. Yet the impact of immigration in particular, rather than ethno‐racial diversity generally, on US social capital has not been examined. Assessing the impact of immigration is important because some have speculated that associations between measures of diversity and social capital found in the United States are a byproduct of the country's distinctively fraught history of black–white relations. This scope condition would greatly limit the applicability of Putnam's thesis. To assess the impact of Mexican immigration, this study leverages a dynamic measure of social capital and an instrumental variables design. The results address an important recent methodological critique of the broader literature and strongly corroborate the hypothesis that immigration erodes social capital.