Migrant populations have always been vulnerable to a high burden of social exclusion, mental disorders, physical illnesses, and economic crises. The current COVID-19 pandemic has further created a frantic plight among them, particularly for undocumented migrant workers in the global south. We have conducted a mixed method study among the undocumented Myanmar migrant workers (UMMWs) in Thailand to explore how the COVID-19 disruption has impacted their mental health and what coping strategies they have adopted. Following the onset of COVID-19 and the recent coup d’état in Myanmar, our current study is the first attempt to understand the mental health status and predicament of this neglected migrant group. A total of 398 UMMWs were included in the online survey, of which 23 participated in qualitative interviews. The major mental health issues reported by the study participants were depression, generalized anxiety disorder, frustration, stress, and panic disorders, while loss of employment, worries about the pandemic, social stigma, lack of access to healthcare, lockdown, and fear of detention were the predominant contributing factors. In response, we identified two key coping mechanisms: coping at a personal level (listening to music, playing online game, praying, and self-motivation) and coping at a social level (chatting with family and friends and visiting religious institutions). These findings point to the importance of policy and intervention programs aimed at upholding mental health at such humanitarian conditions. Sustainable institutional mental health care support and social integration for the migrant workers, irrespective of their legal status, should be ensured.