More than three decades of health disparities research in the United States has consistently found lower adult mortality risks among Hispanics than their non-Hispanic white counterparts, despite lower socioeconomic status among Hispanics. Explanations for the “Hispanic Paradox” include selective migration and cultural factors, though neither has received convincing support. This paper uses a large nationally representative survey of health and smoking behavior to examine whether smoking can explain life expectancy advantage of Hispanics over US-born non-Hispanics whites, with special attention to individuals of Mexican origin. It tests the selective migration hypothesis using data on smoking among Mexico-to-US migrants in Mexico and the United States. Both US-born and foreign-born Mexican-Americans exhibit a life expectancy advantage vis-à-vis whites. All other Hispanics only show a longevity advantage among the foreign-born, while those born in the United States are disadvantaged relative to whites. Smoking-attributable mortality explains the majority of the advantage for Mexican-Americans, with more than 60% of the gap deriving from lower rates of smoking among Mexican-Americans. There is no evidence of selective migration with respect to smoking; Mexicans who migrate to the US smoke at similar rates to Mexicans who remain in Mexico, with both groups smoking substantially less than non-Hispanic whites in the US. The results suggest that more research is needed to effectively explain the low burden of smoking among Mexican-Americans in the United States.