Research has established that being undocumented is a risk factor for mental and physical health conditions. Much of this work emphasizes undocumented immigrants' chronic stress, yet key questions about pathways to health remain. The mere state of being undocumented is viewed as a general stressor, without considering actual levels of stress or identifying dimensions of documentation status that contribute to overall stress levels. Drawing on surveys and interviews with undocumented students at the University of California, we uncover the everyday manifestations of four dimensions of immigrant "illegality": academic concerns, future concerns, financial concerns, and deportation concerns, and their association with reported stress levels and self-rated health. Survey data establish undocumented students' high levels of stress and poorer health, in comparison to previous research on other national samples. In a structural equation model, we found academic and future concerns to be significantly associated with higher stress, which was in turn, associated with poorer self-rated health. Financial concerns were not associated with higher perceived stress but were directly associated with poorer self-rated health. Notably, deportation concerns did not have any significant independent associations with stress or health. We use our qualitative data to identify specific stressors embedded within these four dimensions. Our findings inform understandings of the health risks arising from documentation status.