Resources help individual to function in everyday life, while reserves, a specific type of resources, help them to overcome shock and stress. Evidence is scarce about whether reserves (be they cognitive, economic or relational) protect people’s mental health in situations of temporary stress. Based on a cohort study following undocumented migrants undergoing a stressful life course transition (regularisation with local authorities), we identified which resources and reserves, and which types, better protect mental health. To examine whether reserves, and which types, are prospectively associated with anxiety and depressive symptoms, whether this association is independent of resources, and whether reserves modify the effect of regularisation on anxiety and depressive symptoms. A two-wave cohort study followed 456 undocumented migrants (mean age 44 years) from 2017 to 2020, half (48%) of whom were involved in a pilot regularisation policy implemented by the local authorities of Geneva, Switzerland. Anxiety was measured with the Generalised Anxiety Disorder Questionnaire-7 and depressive symptoms with the Patient Health Questionnaire-9. Economic, cognitive and relational reserves were measured at baseline, as well as economic and relational resources. Generalised Estimating Equations tested the associations of reserves and resources with anxiety and depressive symptoms, and the interaction between reserves/resources and regularisation status. Economic and relational reserves were associated with lower anxiety and depressive symptoms, independent of economic and relational resources. Cognitive reserves were not associated with lower anxiety and depressive symptoms. Regularised participants reported lower anxiety and depressive symptoms compared to non-regularised undocumented participants. Reserves did not modify the effect of regularisation on anxiety and depressive symptoms. The provision of reserves for undocumented migrants may protect mental health but may not alter the impact of regularisation on mental health. Further research is needed among vulnerable groups experiencing psychologically distressing events to test the reserve hypothesis.