This paper describes the level of self-perceived health (SPH) in immigrant and native populations resident in Madrid and the demographic and socioeconomic factors associated with negative self-perceived health status, from a gender perspective. A population-based home survey (2005 Madrid Health Survey) was carried out. Subjects were selected by random sampling of bistage clusters. The study was limited to 5704 adults (16 to 64 years). SPH was considered the dependent variable. The independent variables included migration status, social class, age, sex, marital status, level of education, area of residence, work precariousness, family burden and perception of environmental quality. The association was assessed by odds ratios and their 95% confidence intervals obtained by multivariate logistic regression models disaggregated by gender and migration status. Results showed that poor/fair health status was perceived more by natives and by women. The variables associated with fair/poor SPH in immigrant men were the influence of working conditions perceived as negative and perception of the quality of the environment as poor, and in immigrant women, older age, low educational level and the influence of working conditions perceived as negative. Gender inequalities in self-perceived health exist, and different factors are associated with immigrant and native populations. The results of the study support the need for a health intervention that would diminish gender inequalities in health, which are more accentuated in immigrants.