This paper aims at looking at differences between natives and immigrants in transition probabilities among health states in self-rated health, depression and activities of daily living for middle-aged and older adults living in Europe, and examine how they vary by immigration-related determinants (country of origin and age at migration). The longitudinal dimension acquired by the Survey of Health, Aging and Retirement (SHARE) allows us to investigate how successful is the immigrants’ aging with respect to natives from 2004 to 2011.In all domains of health, older immigrants’ health status deteriorated more frequently compared to native-born. We showed that some groups, as Eastern European immigrants, suffer from disadvantage due to higher probabilities of health deterioration, in terms of self-rated health and depression. Moreover, those immigrants who arrived in the host country during adulthood experienced relatively fast health decline ending up being disadvantaged in later life. Policy measures should take into account their vulnerability by targeting different policies for specific groups of immigrants.