Differences in adult mortality were studied between natives and domestic and international migrants in three Northwestern European cities during different stages of the epidemiological transition. Event history analysis was conducted for mortality risk at ages 30+ using life course data retrieved from three large historical demographic micro-level databases. Results provide ample evidence of healthy migrant effects in Antwerp, Rotterdam, and Stockholm, and the effect was particularly strong among domestic migrants in Rotterdam. The multivariate analyses show that the early life environment, as well as positive selection effects, contributed to the healthy migrant effect: As migration distance increased, mortality risks declined. Being born in the countryside and moving later in life to a city were also associated with lower mortality risks. Although migrants overall had lower mortality risks than natives, we discovered, four vulnerable sub-groups whose mortality risk not only increased, but eventually exceeded that of natives: (1) rural migrants in the period when major epidemics belonged to the past, (2) international migrants who lost their partner, (3) Italian and Italian-speaking Swiss men in Rotterdam, and (4) medium-distance domestic migrant men in Antwerp.