This cross-sectional survey explored the depression status of new migrant women and its relationship with self-rated health in the Hong Kong Chinese context. A convenience sample of 68 migrant women volunteered to participate in the study. The data were collected by using the Problem Solving Inventory, the Center for Epidemiological Studies-Depression questionnaire, and a self-rated health scale. The respondents were found to have a lesser degree of problem-solving appraisal, compared with other populations, and almost half of the volunteers were found to be depressed. Approximately 50% of the women reported their general health as “excellent”, “very good”, or “good”. The Pearson's correlation showed a positive significant correlation between problem-solving appraisal, depression, and self-rated health. The results of the regression analysis showed that family income, self-rated health, and problem-solving confidence are predictive factors of depression. Community nurses could consider using multidisciplinary interventions that focus on life-skills training in order to promote the psychological and general wellness of migrant women in addition to the use of counseling or medication interventions.