Migrants often have lower mortality than natives in spite of relatively unfavorable social and economic characteristics. Although migrants have a short‐run advantage due to the selective migration of healthy workers, persistent health and mortality differences between migrants and natives may be long‐run effects of different experiences in childhood. We made use of a natural experiment resulting from rural‐to‐urban migration in the mid‐19th century. Mortality was much higher in urban areas, especially in rapidly growing industrial cities. Migrants usually came from healthier rural origins as young adults. Data used in this study is available from 19th‐century Belgian population registers describing two sites: a rapidly growing industrial city and a small town that became an industrial suburb. We found evidence of three processes that lead to differences between the mortality of migrants and natives. First, recent migrants had lower mortality than natives, because they were self‐selected for good health when they arrived. This advantage decreased with time spent in the destination. Second, migrants from rural backgrounds had a disadvantage in epidemic years, because they had less experience with these diseases. Third, migrants from rural areas had lower mortality at older (but not younger) ages, even if they had migrated more than 10 years earlier. We interpret this as a long‐run consequence of less exposure to disease in childhood.