The aim of this study was to estimate the role of victimization by violence among Mexican adolescents that have considered or attempted migrating to the United States, including mental health variables (emotional self-esteem, self-esteem in school, depression, suicidal ideation, and attempted suicide) as mediators of the effects. The study used a cross-sectional design with a stratified cluster sample of 13,198 adolescents from the 2nd Mexican National Survey on Exclusion, Intolerance, and Violence in public schools in 2009. The analysis used the regression models proposed by Baron & Kenny. Prevalence of having considered or attempted cross-border migration was 23.1%. Mean age was 16.36 years. Female adolescents constituted 54.9% of the sample, and 56% were lower-income. Mental health variables that acted as partial mediators were suicidal ideation (35.9%), depression (19.2%), attempted suicide (17.7%), emotional self-esteem (6.2%), and self-esteem in school (3.4%) for moderate family violence, and emotional self-esteem (17.5%) for social rejection in school and suicidal ideation (8.1%) for physical harm in school. Female adolescents showed greater impact from mediators than men in considering or having attempted cross-border migration. The study discusses the importance of incorporating the prevention of violence in the social contexts studied here and incorporating mental health in dealing with violence in adolescents and in public health programs in transit areas for illegal migrants.