We systematically review factors associated with the presence of psychological distress or common mental disorders in migrant populations. Articles published between January 2000 and December 2014 were reviewed and 85 applying multivariate statistical analysis were selected. Common mental disorders were significantly associated with socio-demographic and psychological characteristics, as observed in large epidemiological studies on general populations. The probability of common mental disorders occurrence differs significantly among migrant groups according to their region of origin. Moreover, traumatic events prior to migration, forced, unplanned, poorly planned or illegal migration, low level of acculturation, living alone or separated from family in the host country, lack of social support, perceived discrimination, and the length of migrants’ residence in the host country all increase the likelihood of CMD. In contrast, language proficiency, family reunification, and perceived social support reduce such probability. Factors related with the risk of psychiatric morbidity among migrants should be taken into account to design preventive strategies.