Rural-to-urban migrant workers are at high risk of health inequalities in cities. Since labor is a central social determinant of health, this paper provided evidence on the health consequences of self-employment among mobile populations in developing countries. The cross-sectional data from the 2017 data of the China Migrants Dynamic Survey (CMDS) and the IV-Oprobit model are used to examine the effects of self-employment on health. The results showed that: (1) Self-employment was positively related to health; (2) among the self-employed, the health effects of opportunity self-employed are larger than those of necessity self-employed; (3) in the subsample analysis, the health effect of self-employment was greater for male and Han nationality migrant workers; (4) self-employment promotes health primarily through reducing manual labor, increasing flexibility time, job stability, financial rewards, and social integration directly or indirectly. Thus, focusing on improving the social security system, granting entrepreneurial subsidies, and optimizing the business environment mean boosting the positive effect of self-employment on economic development.