Ethnography, with its focus on everyday experience, can yield significant insights into understanding migrant mental health in contexts where signs of severe mental distress remain largely imperceptible, and more generally, into how stresses and strains are lived through the spaces, times and affective atmospheres of the city. Migrant ethnography can help us reconsider the oft-made connection between everyday stress and mental ill health. In this contribution, drawing on field evidence in central and peripheral Shanghai, we highlight the importance of attending to the forms of spatial and temporal agency through which migrants actively manage the ways in which the city affects their subjectivity. These everyday subjective practices serve to problematize the very concept of 'mental health'. The paper engages in a critical dialogue with sociological and epidemiological research that assesses migrant mental health states through the lens of the vulnerability or resilience of this social group, often reducing citiness to a series of environmental 'stressors'. Distinct from methods ascertaining or arguing against the prevalence of mental disorders among urban migrants, the insight of urban ethnography is to open up a space to explore the mediations that operate dialogically between the city as lived by migrants through particular places and situations and forms of distress.