The study reported herein adopted a stress and coping framework to examine the functions of social support in protecting the mental health of migrant workers who experience migration stress during settlement in Shanghai, China. A total of 475 migrant workers from four major districts in Shanghai were recruited for a survey through multistage cluster sampling. The results suggest that migration stress, particularly financial and employment difficulties, difficulties in interpersonal relationships, and social companionship support contributed substantially to the mental health of both male and female migrant workers. Although instrumental support significantly influenced the mental health of male migrants, esteem support significantly influenced the mental health of female migrants. In addition, although social support did not exert any mediating effect on the mental health of both male and female migrant workers, social companionship support appeared to moderate the migration stress and mental health of female migrant workers. Sociocultural factors are put forth as explanations for these findings. The implications of this study include the provision of workshops and counseling and the strengthening of informal support networks for migrant workers.