To study health inequalities between native and immigrant Swedes, we investigated differences in self‐rated health (SRH), mental wellbeing (MW), common symptoms (CS), and persistent illness (PI), and if socioeconomic status (SES), negative status inconsistency, or social support could account for such differences. A secondary analysis was conducted on questionnaire data from a random adult population sample of 4,023 individuals and register data from Statistics Sweden. χ2 tests and binary logistic regressions were used to identify health differences and study these after accounting for explanatory variables. Compared with natives, immigrants more commonly reported negative status inconsistency, poorer SES, and poorer social support as well as poor SRH, very poor MW, and high level of CS but not PI. Significant differences were accounted for by work‐related factors and social support. We encourage future research to address how pre‐ and peri‐migration factors relate to immigrants’ post‐migration SES, social support, and health status. Policy Implications Given the relationship between work‐related factors (employment status, hours worked per week, and income) and all health outcomes in this study, labour market interventions that facilitate the integration of immigrants into the labour market, and into occupations that better correspond with their capacity, will arguably have public health benefits. Feelings of loneliness was, in our study, important in accounting for immigrants’ poorer self‐rated health compared with natives’. Therefore, we endorse interventions that facilitate immigrants’ social networking and integration and thereby reduce feelings of loneliness. Common physical and mental symptoms may be important indicators of health and we, thus, suggest these to be taken into account when developing ill‐health prevention programmes.