This study examines to what extent migrant women face mental distress in the workplace, thus focusing on the intersection of gender and migration, and whether entrepreneurial activity improves their mental well-being. Applying the job demands-resources model, we hypothesize that entrepreneurship could be an important avenue for alleviating mental distress for women in the workforce who face challenges due to compounded disadvantages. Utilizing longitudinal data from the UK Household Longitudinal Study (Understanding Society), we employ correlated random effects models to analyze the interplay between job demands and resources. The findings confirm that entrepreneurship could improve mental distress experienced by women in the workplace, however, we do not observe such improvement for migrants and migrant women. These results enrich intersectionality and entrepreneurship research by revealing the nuanced dynamics that shape the labor market experiences of disadvantaged groups. The study highlights how entrepreneurial autonomy can buffer against effort-reward imbalances, thus serving as a vehicle for improving mental well-being of marginalized populations. Implications for managerial practices and policies include promoting autonomy in the workplace and designing intersectionality-informed entrepreneurship programs. disadvantaged groups. Implications for managerial practices and policies include promoting autonomy in the workplace and designing intersectionality-informed entrepreneurship programs. This research contributes to a deeper understanding of the potential for entrepreneurship to serve as a vehicle for improving mental well-being of marginalized populations.