The present study was based on the rejection-identification model regarding migrants acculturation. Personal perceived discrimination, acculturation attitudes, self-construal, and psychological well-being were examined simultaneously in Albanian and Indian immigrants residing in Greece (N = 233). It was hypothesized that perceived discrimination would be related negatively to immigrants’ psychological well-being, both directly and indirectly. A positive relationship was expected between perceived discrimination and separation and a negative relationship between discrimination and integration, or assimilation. It was, also, expected a positive relationship of perceived discrimination to interdependent self-construal and a negative relationship to independent self-construal. Furthermore, it was examined the mediating role of separation in the association of perceived discrimination with psychological well-being and the moderating role of interdependent self-construal in the association of perceived discrimination with psychological well-being. According to the results, perceived discrimination was positively related to separation and negatively to integration, but was related neither to independent nor to interdependent self-construal. Perceived discrimination was, also, positively related to depression directly and indirectly. Fewer depressive symptoms were reported by those immigrants who face discrimination but also select separation. Immigrants with high levels of interdependence, also, do seem to be protected from depression and anxiety. The interpretation of these findings signifies that, when immigrants who perceive discrimination choose separation from the host country, they may reduce their depression feelings, by fitting into relationships with in-group members. Interdependence and the perception of immigrants self as a social unit, also, may act protectively for their psychological well-being, enhancing the identification with the in-group, as well.